Joon Y. Park
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Yoosoon Chang & Steven N. Durlauf & Seunghee Lee & Joon Y. Park, 2023.
"A Trajectories-Based Approach to Measuring Intergenerational Mobility,"
NBER Working Papers
31020, National Bureau of Economic Research, Inc.
- Yoosoon Chang & Steven Durlauf & Seunghee Lee & Joon Park, 2023. "A Trajectories-Based Approach to Measuring Intergenerational Mobility," CAEPR Working Papers 2023-004 Classification-C, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
Cited by:
- Yoosoon Chang & Fabio Gómez-RodrÃguez & Christian Matthes, 2023.
"The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve,"
CAMA Working Papers
2023-65, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Yoosoon Chang & Fabio Gomez-Rodriguez & Christian Matthes, 2023. "The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve," CAEPR Working Papers 2023-008 Classification-E, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Yoosoon Chang & Fabio Gómez-RodrÃguez & Christian Matthes, 2024. "The Influence of Fiscal and Monetary Policies on the Shape of the Yield Curve," Working Papers No 02/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
Cited by:
- Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012.
"Semiparametric inference in a GARCH-in-mean model,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
- Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, Department of Economics and Business Economics, Aarhus University.
- Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
- Heejoon Han & Myung D. Park, 2013. "Comparison of Realized Measure and Implied Volatility in Forecasting Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 522-533, September.
- Louhichi, Waël, 2011. "What drives the volume-volatility relationship on Euronext Paris?," International Review of Financial Analysis, Elsevier, vol. 20(4), pages 200-206, August.
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Hao Sun & Bo Yu, 2020. "Forecasting Financial Returns Volatility: A GARCH-SVR Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 451-471, February.
- Fredj Jawadi & Wael Louhichi & Hachmi Ben Ameur & Abdoulkarim Idi Cheffou, 2017. "On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis," Working Papers hal-04141662, HAL.
- Ming Chen & Qiongxia Song, 2016. "Semi-parametric estimation and forecasting for exogenous log-GARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(1), pages 93-112, March.
- Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2014. "An Evolving Fuzzy-Garch Approach Forfinancial Volatility Modeling And Forecasting," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Fredj Jawadi & Waël Louhichi & Hachmi Ben Ameur & Abdoulkarim Idi Cheffou, 2017.
"On Oil-US Exchange Rate Volatility Relationships: an Intradaily Analysis,"
EconomiX Working Papers
2017-11, University of Paris Nanterre, EconomiX.
- Jawadi, Fredj & Louhichi, Waël & Ameur, Hachmi Ben & Cheffou, Abdoulkarim Idi, 2016. "On oil-US exchange rate volatility relationships: An intraday analysis," Economic Modelling, Elsevier, vol. 59(C), pages 329-334.
- Mihaela Craioveanu & Eric Hillebrand, 2012. "Level changes in volatility models," Annals of Finance, Springer, vol. 8(2), pages 277-308, May.
- Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
- Leandro Maciel, 2012. "A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(3), pages 337-367.
- Leandro Maciel & Fernando Gomide & Rosangela Ballini, 2016. "Evolving Fuzzy-GARCH Approach for Financial Volatility Modeling and Forecasting," Computational Economics, Springer;Society for Computational Economics, vol. 48(3), pages 379-398, October.
- Chang, Yoosoon & Miller, J. Isaac & Park, Joon Y., 2005.
"Extracting a Common Stochastic Trend: Theories with Some Applications,"
Working Papers
2005-06, Rice University, Department of Economics.
- J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005. "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers 0507, Department of Economics, University of Missouri, revised 18 Aug 2005.
Cited by:
- Tara Sinclair & Sinchan Mitra, 2008.
"Output Fluctuations in the G-7: An Unobserved Components Approach,"
Working Papers
2008-04, The George Washington University, Institute for International Economic Policy.
- Mitra, Sinchan & Sinclair, Tara M., 2012. "Output Fluctuations In The G-7: An Unobserved Components Approach," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 396-422, June.
- Sinchan Mitra & Tara M. Sinclair, "undated". "Output Fluctuations in the G-7: An Unobserved Components Approach," MRG Discussion Paper Series 2509, School of Economics, University of Queensland, Australia.
- Herwartz, Helmut & Weber, Henning, 2010. "The euro's trade effect under cross-sectional heterogeneity and stochastic resistance," Kiel Working Papers 1631, Kiel Institute for the World Economy (IfW Kiel).
- Herwartz, Helmut & Weber, Henning, 2013. "The role of cross-sectional heterogeneity for magnitude and timing of the euro's trade effect," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 48-74.
- Park, Joon Y., 2005.
"The Spatial Analysis of Time Series,"
Working Papers
2005-07, Rice University, Department of Economics.
- Joon Y. Park, 2004. "The Spatial Analysis of Time Series," Econometric Society 2004 North American Winter Meetings 595, Econometric Society.
Cited by:
- Qiying Wang & Peter C.B. Phillips, 2006.
"Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression,"
Cowles Foundation Discussion Papers
1594, Cowles Foundation for Research in Economics, Yale University.
- Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
- Miller, J. Isaac & Park, Joon Y., 2005.
"How They Interact to Generate Persistency in Memory,"
Working Papers
2005-01, Rice University, Department of Economics.
Cited by:
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
- Chung, Heetaik & Park, Joon Y., 2007.
"Nonstationary nonlinear heteroskedasticity in regression,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
- Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Park, Joon & Chung, Heetaik, 2005.
"Nonstationary Nonlinear Heteroskedasticity in Regression,"
Working Papers
2004-02, Rice University, Department of Economics.
- Chung, Heetaik & Park, Joon Y., 2007. "Nonstationary nonlinear heteroskedasticity in regression," Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society.
Cited by:
- Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
- Xu, Ke-Li, 2008. "Testing against nonstationary volatility in time series," Economics Letters, Elsevier, vol. 101(3), pages 288-292, December.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
- Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2020. "New robust inference for predictive regressions," Papers 2006.01191, arXiv.org, revised Mar 2023.
- Skrobotov, Anton, 2022. "On robust testing for trend," Economics Letters, Elsevier, vol. 212(C).
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016.
"Inference on co-integration parameters in heteroskedastic vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Xu, Ke-Li, 2012. "Robustifying multivariate trend tests to nonstationary volatility," Journal of Econometrics, Elsevier, vol. 169(2), pages 147-154.
- Nikolaos Kourogenis, 2015. "Polynomial Trends, Nonstationary Volatility and the Eicker-White Asymptotic Variance Estimator," Economics Bulletin, AccessEcon, vol. 35(3), pages 1675-1680.
- Xu, Ke-Li & Phillips, Peter C.B., 2008.
"Adaptive estimation of autoregressive models with time-varying variances,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
- Ke-Li Xu & Jui-Chung Yang, 2015. "Towards Uniformly Efficient Trend Estimation Under Weak/Strong Correlation and Non-stationary Volatility," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(1), pages 63-86, March.
- Kim, Chang Sik & Kim, In-Moo, 2012. "Partial parametric estimation for nonstationary nonlinear regressions," Journal of Econometrics, Elsevier, vol. 167(2), pages 448-457.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Bu, Ruijun & Kim, Jihyun & Wang, Bin, 2023. "Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications," Journal of Econometrics, Elsevier, vol. 235(2), pages 1934-1954.
- Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
- Kim, In-Moo & Park, Joon Y., 2005.
"Iterative Maximum Likelihood Estimation of Cointegrating Vectors,"
Working Papers
2005-02, Rice University, Department of Economics.
Cited by:
- Park, Suk K. & Ahn, Sung K. & Cho, Sinsup, 2011. "Generalized method of moments estimation for cointegrated vector autoregressive models," Computational Statistics & Data Analysis, Elsevier, vol. 55(9), pages 2605-2618, September.
- Joon Y. Park & Mototsugu Shintani, 2005.
"Testing for a Unit Root against Transitional Autoregressive Models,"
Vanderbilt University Department of Economics Working Papers
05010, Vanderbilt University Department of Economics.
- Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics.
Cited by:
- Mohsen Bahmani-Oskooee & Tsangyao Chang & Kuei-Chiu Lee, 2016. "Panel asymmetric nonlinear unit root test and PPP in Africa," Applied Economics Letters, Taylor & Francis Journals, vol. 23(8), pages 554-558, May.
- Le Pen, Yannick, 2011. "A pair-wise approach to output convergence between European regions," Economic Modelling, Elsevier, vol. 28(3), pages 955-964, May.
- Frédérique Bec & Songlin Zeng, 2013.
"Are Southeast Asian Real Exchange Rates Mean Reverting?,"
Post-Print
hal-02979368, HAL.
- Frédérique Bec & Songlin Zeng, 2012. "Are Southeast Asian Real Exchange Rates Mean Reverting?," THEMA Working Papers 2012-25, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Bec, Frédérique & Zeng, Songlin, 2013. "Are Southeast Asian real exchange rates mean reverting?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 265-282.
- Frédérique Bec & Songlin Zeng, 2012. "Are Southeast Asian Real Exchange Rates Mean Reverting?," Working Papers hal-00685812, HAL.
- George Kapetanios & Yongcheol Shin, 2011. "Testing the Null Hypothesis of Nonstationary Long Memory Against the Alternative Hypothesis of a Nonlinear Ergodic Model," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 620-645.
- Kim, Hyeongwoo & Ryu, Deockhyun, 2015.
"A nonparametric study of real exchange rate persistence over a century,"
International Review of Economics & Finance, Elsevier, vol. 37(C), pages 406-418.
- Hyeongwoo Kim & Deockhyun Ryu, 2013. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2013-08, Department of Economics, Auburn University.
- Hyeongwoo Kim & Deockhyun Ryu, 2014. "A Nonparametric Study of Real Exchange Rate Persistence over a Century," Auburn Economics Working Paper Series auwp2014-15, Department of Economics, Auburn University.
- Cheung, Yin-Wong (ed.), 2012.
"The Evolving Role of China in the Global Economy,"
MIT Press Books,
The MIT Press,
edition 1, volume 1, number 0262018234, December.
- Jinzhao Chen, 2012. "Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation," PSE Working Papers halshs-00660654, HAL.
- Tsangyao Chang & Hsu-Ling Chang & Ken Hung & Chi-Wei Su, 2012. "Nonlinear adjustment to purchasing power parity for Germany's real exchange rate relative to its major trading partners," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 197-202, February.
- Frederick Wallace, 2013.
"Cointegration tests of purchasing power parity,"
Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 149(4), pages 779-802, December.
- Wallace, Frederick, 2009. "Cointegration tests of purchasing power parity," MPRA Paper 18079, University Library of Munich, Germany.
- Kim, Hyeongwoo & Moh, Young-Kyu, 2010.
"A century of purchasing power parity confirmed: The role of nonlinearity,"
Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1398-1405, November.
- Kim, Hyeongwoo & Moh, Young-Kyu, 2009. "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity," MPRA Paper 17488, University Library of Munich, Germany.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2012.
"Unit roots, nonlinearities and structural breaks,"
CREATES Research Papers
2012-14, Department of Economics and Business Economics, Aarhus University.
- Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
- Rod Tyers & Ying Zhang, 2014.
"Real exchange rate determination and the China puzzle,"
Asian-Pacific Economic Literature, The Crawford School, The Australian National University, vol. 28(2), pages 1-32, November.
- Rod Tyers & Ying Zhang, 2014. "Real Exchange Rate Determination and the China Puzzle," Economics Discussion / Working Papers 14-19, The University of Western Australia, Department of Economics.
- Maican, Florin G. & Sweeney, Richard J., 2013.
"Real exchange rate adjustment in European transition countries,"
Journal of Banking & Finance, Elsevier, vol. 37(3), pages 907-926.
- Maican, Florin G. & Sweeney, Richard J., 2006. "Real Exchange Rate Adjustment In European Transition Countries," Working Papers in Economics 202, University of Gothenburg, Department of Economics.
- Dimitris, Chrsitopoulos & Miguel, Leon-Ledesma, 2009.
"International Output Convergence, Breaks, and Asymmetric Adjustment,"
MPRA Paper
14566, University Library of Munich, Germany.
- Christopoulos Dimitris K & Leon-Ledesma Miguel A., 2011. "International Output Convergence, Breaks, and Asymmetric Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(3), pages 1-33, May.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2009.
"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model,"
CIRANO Working Papers
2009s-18, CIRANO.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annals of Economics and Statistics, GENES, issue 99-100, pages 395-427.
- Frédérique Bec & Mélika Ben Salem & Marine Carrasco, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," Post-Print hal-00685810, HAL.
- Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
- Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2017.
"Are linear models really unuseful to describe business cycle data?,"
MPRA Paper
79413, University Library of Munich, Germany.
- Artur Silva Lopes & Gabriel Florin Zsurkis, 2019. "Are linear models really unuseful to describe business cycle data?," Applied Economics, Taylor & Francis Journals, vol. 51(22), pages 2355-2376, May.
- Jinzhao Chen, 2012.
"Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation,"
Working Papers
halshs-00660654, HAL.
- Jinzhao Chen, 2012. "Crisis, Capital Controls and Covered Interest Parity: Evidence from China in Transformation," PSE Working Papers halshs-00660654, HAL.
- Jinzhao Chen, 2013. "Crisis, capital controls, and covered interest parity: Evidence from China in transformation," Post-Print halshs-00845630, HAL.
- Jinzhao Chen, 2013. "Crisis, capital controls, and covered interest parity: Evidence from China in transformation," PSE-Ecole d'économie de Paris (Postprint) halshs-00845630, HAL.
- Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
- Aloy, Marcel & Boutahar, Mohamed & Gente, Karine & Péguin-Feissolle, Anne, 2011.
"Purchasing power parity and the long memory properties of real exchange rates: Does one size fit all?,"
Economic Modelling, Elsevier, vol. 28(3), pages 1279-1290, May.
- Marcel Aloy & Mohamed Boutahar & Karine Gente & Anne Peguin-Feissolle, 2011. "Purchasing power parity and the long memory properties of real exchange rates: does one size fit all?," Working Papers halshs-00559170, HAL.
- Hyeongwoo Kim & Young-Kyu Moh, 2012.
"The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests,"
Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 18(4), pages 1-22, December.
- Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Working Papers 2012-5, Economic Research Institute, Bank of Korea.
- Hyeongwoo Kim & Young-Kyu Moh, 2012. "The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-linear Unit-Root Tests," Auburn Economics Working Paper Series auwp2012-02, Department of Economics, Auburn University.
- Lopes, Artur Silva & Zsurkis, Gabriel Florin, 2017. "Are linear models really unuseful to describe business cycle data?," Economics Discussion Papers 2017-5, Kiel Institute for the World Economy (IfW Kiel).
- Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010.
"Three-Regime Asymmetric STAR Modeling and Exchange Rate Reversion,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
- Mario Cerrato & Hyunsok Kim & Ronald Macdonald, 2010. "Three‐Regime Asymmetric STAR Modeling and Exchange Rate Reversion," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(7), pages 1447-1467, October.
- Sandberg, Rickard, 2016. "Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined," Economic Modelling, Elsevier, vol. 52(PB), pages 699-713.
- Tsangyao Chang, 2012. "Nonlinear adjustment to purchasing power parity in China," Applied Economics Letters, Taylor & Francis Journals, vol. 19(9), pages 843-848, June.
- Cerrato, Mario & Kim, Hyunsok & MacDonald, Ronald, 2009.
"3-Regime symmetric STAR modeling and exchange rate reversion,"
SIRE Discussion Papers
2009-07, Scottish Institute for Research in Economics (SIRE).
- Mario Cerrato & Hyunsok Kim & Ronald MacDonald, 2008. "3-Regime symmetric STAR modeling and exchange rate reversion," Working Papers 2009_05, Business School - Economics, University of Glasgow, revised Feb 2009.
- Chang, Tsangyao & Lee, Chia-Hao & Liu, Wen-Chi, 2012. "Nonlinear adjustment to purchasing power parity for ASEAN countries," Japan and the World Economy, Elsevier, vol. 24(4), pages 325-331.
- Zhang, Lingxiang, 2013. "Partial unit root and linear spurious regression: A Monte Carlo simulation study," Economics Letters, Elsevier, vol. 118(1), pages 189-191.
- Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
- Burak Güriş & Muhammed Tiraşoğlu, 2018. "The Validity of Purchasing Power Parity in BRICS Countries," Prague Economic Papers, Prague University of Economics and Business, vol. 2018(4), pages 417-426.
- Norman, Stephen & Phillips, Kerk L., 2009.
"What is the Shape of Real Exchange Rate Nonlinearity?,"
MPRA Paper
23504, University Library of Munich, Germany.
- Tsangyao Chang & Yu-Shao Liu & Chi-Wei Su, 2012. "Purchasing power parity with nonlinear and asymmetric smooth adjustment for the Middle Eastern countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(5), pages 487-491, March.
- Chen, Shyh-Wei, 2011. "Current account deficits and sustainability: Evidence from the OECD countries," Economic Modelling, Elsevier, vol. 28(4), pages 1455-1464, July.
- Sollis, Robert, 2009. "A simple unit root test against asymmetric STAR nonlinearity with an application to real exchange rates in Nordic countries," Economic Modelling, Elsevier, vol. 26(1), pages 118-125, January.
- Maki Daiki, 2010. "Detection of Stationarity in Nonlinear Processes: A Comparison between Structural Breaks and Three-Regime TAR Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-43, September.
- Joanna Bruzda, 2008. "Output-Capital Nexus in the Solow and Romer Growth Models. LSTR or ESTR Cointegration?," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 103-110.
- Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002.
"Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model,"
Working Papers
2002-46, Center for Research in Economics and Statistics.
- Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
- Rehim Kılıc, 2011. "Testing for a unit root in a stationary ESTAR process," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 274-302.
- Cheng, Ka Ming, 2022. "Doubts on natural rate of unemployment: Evidence and policy implications," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 230-239.
- Tsangyao Chang & Chi-Wei Su & Chia-Hao Lee, 2012. "Nonlinear adjustment to purchasing power parity with flexible Fourier function in G-7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1111-1116, August.
- Dilem Yildirim & Ralf Becker & Denise R Osborn, 2009. "Bootstrap Unit Root Tests for Nonlinear Threshold Models," Economics Discussion Paper Series 0915, Economics, The University of Manchester.
- Tsangyao Chang & Chia-Hao Lee & Pei-I Chou, 2012. "Nonlinear adjustment to purchasing power parity in G-7 countries," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 123-128, February.
- Silva Lopes, Artur C. & Florin Zsurkis, Gabriel, 2015. "Revisiting non-linearities in business cycles around the world," MPRA Paper 65668, University Library of Munich, Germany.
- Zhang, Lingxiang, 2013. "Revisiting the empirics of inflation in China: A smooth transition error correction approach," Economics Letters, Elsevier, vol. 119(1), pages 68-71.
- He, Huizhen & Chang, Tsangyao, 2013. "Purchasing power parity in transition countries: Sequential panel selection method," Economic Modelling, Elsevier, vol. 35(C), pages 604-609.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- Joon Y. Park & Yoosoon Chang, 2004.
"Endogeneity in Nonlinear Regressions with Integrated Time Series,"
Econometric Society 2004 North American Winter Meetings
594, Econometric Society.
Cited by:
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012.
"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
- Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos, 2014. "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 676-712, August.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012. "Non-linearity Induced Weak Instrumentation," Cowles Foundation Discussion Papers 1872, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y. & Whang, Yoon-Jae, 2004.
"A Test of the Martingale Hypothesis,"
Working Papers
2004-11, Rice University, Department of Economics.
- Park Joon Y. & Whang Yoon-Jae, 2005. "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
- Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
- Miller, J. Isaac & Park, Joon Y., 2010.
"Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory,"
Journal of Econometrics, Elsevier, vol. 155(1), pages 83-89, March.
- Joon Y. Park & J. Isaac Miller, 2004. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings 597, Econometric Society.
- J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012.
"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
- Park, Joon Y. & Whang, Yoon-Jae, 2004.
"A Test of the Martingale Hypothesis,"
Working Papers
2004-11, Rice University, Department of Economics.
- Park Joon Y. & Whang Yoon-Jae, 2005. "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
Cited by:
- Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
- Xuexin WANG, 2021. "Generalized Spectral Tests for High Dimensional Multivariate Martingale Difference Hypotheses," Working Papers 2021-11-06, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chang, Jinyuan & Jiang, Qing & Shao, Xiaofeng, 2023. "Testing the martingale difference hypothesis in high dimension," Journal of Econometrics, Elsevier, vol. 235(2), pages 972-1000.
- Joon Y. Park & J. Isaac Miller, 2004.
"Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory,"
Econometric Society 2004 North American Summer Meetings
597, Econometric Society.
- Miller, J. Isaac & Park, Joon Y., 2010. "Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory," Journal of Econometrics, Elsevier, vol. 155(1), pages 83-89, March.
- J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
Cited by:
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018.
"Generating Univariate Fractional Integration within a Large VAR(1),"
AMSE Working Papers
1844, Aix-Marseille School of Economics, France.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating univariate fractional integration within a large VAR(1)," Post-Print hal-01980783, HAL.
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
- Chevillon, Guillaume & Hecq, Alain & Laurent, Sébastien, 2018. "Generating univariate fractional integration within a large VAR(1)," Journal of Econometrics, Elsevier, vol. 204(1), pages 54-65.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012.
"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
- Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos, 2014. "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 676-712, August.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012. "Non-linearity Induced Weak Instrumentation," Cowles Foundation Discussion Papers 1872, Cowles Foundation for Research in Economics, Yale University.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
- Chevillon, Guillaume & Mavroeidis, Sophocles, 2011.
"Learning generates Long Memory,"
ESSEC Working Papers
WP1113, ESSEC Research Center, ESSEC Business School.
- Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print hal-00661012, HAL.
- Gianluca Cubadda & Alain Hecq & Antonio Riccardo, 2018. "Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector," CEIS Research Paper 445, Tor Vergata University, CEIS, revised 30 Oct 2018.
- Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015.
"Long memory through marginalization of large systems and hidden cross-section dependence,"
Research Memorandum
014, Maastricht University, Graduate School of Business and Economics (GSBE).
- Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," Working Papers hal-01158524, HAL.
- Chevillon, Guillaume & Hecq , Alain & Laurent, Sébastien, 2015. "Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence," ESSEC Working Papers WP1507, ESSEC Research Center, ESSEC Business School.
- Susanne M. Schennach, 2013.
"Long memory via networking,"
CeMMAP working papers
CWP13/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Susanne M. Schennach, 2018. "Long Memory via Networking," Econometrica, Econometric Society, vol. 86(6), pages 2221-2248, November.
- Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers 13/13, Institute for Fiscal Studies.
- Susanne M. Schennach, 2018. "Long memory via networking," CeMMAP working papers CWP49/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Chung, Heetaik & Park, Joon Y., 2007.
"Nonstationary nonlinear heteroskedasticity in regression,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
- Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society.
- Phillips, Peter C.B. & Lee, Ji Hyung, 2016. "Robust econometric inference with mixed integrated and mildly explosive regressors," Journal of Econometrics, Elsevier, vol. 192(2), pages 433-450.
- Miller, J. Isaac, 2011.
"Testing the bounds: Empirical behavior of target zone fundamentals,"
Economic Modelling, Elsevier, vol. 28(4), pages 1782-1792, July.
- J. Isaac Miller, 2008. "Testing the Bounds: Empirical Behavior of Target Zone Fundamentals," Working Papers 0803, Department of Economics, University of Missouri, revised 15 Apr 2009.
- Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Chang, Yoosoon & Miller, J. Isaac & Park, Joon Y., 2005.
"Extracting a Common Stochastic Trend: Theories with Some Applications,"
Working Papers
2005-06, Rice University, Department of Economics.
- J. Isaac Miller & Yoosoon Chang & Joon Y. Park, 2005. "Extracting a Common Stochastic Trend:Theories with Some Applications," Working Papers 0507, Department of Economics, University of Missouri, revised 18 Aug 2005.
- Chevillon, Guillaume & Mavroeidis, Sophocles, 2017. "Learning can generate long memory," Journal of Econometrics, Elsevier, vol. 198(1), pages 1-9.
- Chang, Yoosoon & Park, Joon Y., 2004.
"Taking a New Contour: A Novel View on Unit Root Test,"
Working Papers
2004-10, Rice University, Department of Economics.
Cited by:
- Keiji Nagai & Yoshihiko Nishiyama & Kohtaro Hitomi, 2018. "Sequential test for unit root in AR(1) model," KIER Working Papers 1003, Kyoto University, Institute of Economic Research.
- Park, Joon, 2003.
"Weak Unit Roots,"
Working Papers
2003-17, Rice University, Department of Economics.
Cited by:
- Donald W. K. Andrews & Patrik Guggenberger, 2008.
"Asymptotics for stationary very nearly unit root processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 203-212, January.
- Donald W.K. Andrews & Patrik Guggenberger, 2007. "Asymptotics for Stationary Very Nearly Unit Root Processes," Cowles Foundation Discussion Papers 1607, Cowles Foundation for Research in Economics, Yale University.
- Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
- Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews & Patrik Guggenberger, 2008.
"Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity,"
Cowles Foundation Discussion Papers
1665, Cowles Foundation for Research in Economics, Yale University.
- Andrews, Donald W.K. & Guggenberger, Patrik, 2012. "Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 169(2), pages 196-210.
- Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665R2, Cowles Foundation for Research in Economics, Yale University, revised Feb 2012.
- Donald W.K. Andrews & Patrik Guggenberger, 2008. "Asymptotics for LS, GLS, and Feasible GLS Statistics in an AR(1) Model with Conditional Heteroskedaticity," Cowles Foundation Discussion Papers 1665R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2010.
- Yixiao Sun, 2014.
"Fixed-smoothing Asymptotics and AsymptoticFandtTests in the Presence of Strong Autocorrelation,"
Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 14, pages 23-63,
Emerald Group Publishing Limited.
- Sun, Yixiao, 2014. "Fixed-smoothing Asymptotics and Asymptotic F and t Tests in the Presence of Strong Autocorrelation," University of California at San Diego, Economics Working Paper Series qt8479f4s2, Department of Economics, UC San Diego.
- Xiaohu Wang & Jun Yu, 2012.
"Double Asymptotics for Explosive Continuous Time Models,"
Working Papers
16-2012, Singapore Management University, School of Economics.
- Xiaohu Wang & Jun Yu, 2011. "Double Asymptotics for an Explosive Continuous Time Model," Working Papers 16-2011, Singapore Management University, School of Economics.
- Wang, Xiaohu & Yu, Jun, 2016. "Double asymptotics for explosive continuous time models," Journal of Econometrics, Elsevier, vol. 193(1), pages 35-53.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2007.
"Limit theory for moderate deviations from a unit root,"
Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
- Peter C.B. Phillips & Tassos Magdalinos, 2004. "Limit Theory for Moderate Deviations from a Unit Root," Cowles Foundation Discussion Papers 1471, Cowles Foundation for Research in Economics, Yale University.
- Stephan Smeekes & Joakim Westerlund, 2019.
"Robust block bootstrap panel predictability tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1089-1107, October.
- Westerlund, J. & Smeekes, S., 2013. "Robust block bootstrap panel predictability tests," Research Memorandum 060, Maastricht University, Graduate School of Business and Economics (GSBE).
- Park, Joon, 2003.
"A Bootstrap Theory for Weakly Integrated Processes,"
Working Papers
2003-16, Rice University, Department of Economics.
- Park, Joon Y., 2006. "A bootstrap theory for weakly integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 639-672, August.
- Yiu Lim Lui & Weilin Xiao & Jun Yu, 2021. "Mildly Explosive Autoregression with Anti‐persistent Errors," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 518-539, April.
- Jeong, Minsoo, 2022. "Modelling persistent stationary processes in continuous time," Economic Modelling, Elsevier, vol. 109(C).
- Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
- Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, vol. 20(4), pages 497-520, December.
- Donald W. K. Andrews & Patrik Guggenberger, 2008.
"Asymptotics for stationary very nearly unit root processes,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 203-212, January.
- Park, Joon, 2003.
"Nonstationary Nonlinearity: An Outlook for New Opportunities,"
Working Papers
2003-05, Rice University, Department of Economics.
Cited by:
- Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
- Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
- Park, Joon, 2003.
"Strong Approximations for Nonlinear Transformations of Integrated Time Series,"
Working Papers
2003-18, Rice University, Department of Economics.
Cited by:
- Chung, Heetaik & Park, Joon Y., 2007.
"Nonstationary nonlinear heteroskedasticity in regression,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
- Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society.
- Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
- Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
- Chung, Heetaik & Park, Joon Y., 2007.
"Nonstationary nonlinear heteroskedasticity in regression,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Park, Joon, 2003.
"A Bootstrap Theory for Weakly Integrated Processes,"
Working Papers
2003-16, Rice University, Department of Economics.
- Park, Joon Y., 2006. "A bootstrap theory for weakly integrated processes," Journal of Econometrics, Elsevier, vol. 133(2), pages 639-672, August.
Cited by:
- Skrobotov Anton, 2018.
"On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root,"
Working Papers
wpaper-2018-302, Gaidar Institute for Economic Policy, revised 2018.
- Skrobotov, Anton, 2018. "On bootstrap implementation of likelihood ratio test for a unit root," Economics Letters, Elsevier, vol. 171(C), pages 154-158.
- Chambers, MJ & Kyriacou, M, 2016.
"Jackknife Bias Reduction in the Presence of a Near-Unit Root,"
Economics Discussion Papers
17623, University of Essex, Department of Economics.
- Marcus J. Chambers & Maria Kyriacou, 2018. "Jackknife Bias Reduction in the Presence of a Near-Unit Root," Econometrics, MDPI, vol. 6(1), pages 1-28, March.
- Stephan Smeekes & Joakim Westerlund, 2019.
"Robust block bootstrap panel predictability tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1089-1107, October.
- Westerlund, J. & Smeekes, S., 2013. "Robust block bootstrap panel predictability tests," Research Memorandum 060, Maastricht University, Graduate School of Business and Economics (GSBE).
- Westerlund, Joakim & Thuraisamy, Kannan, 2016. "Panel multi-predictor test procedures with an application to emerging market sovereign risk," Emerging Markets Review, Elsevier, vol. 28(C), pages 44-60.
- Sizova, Natalia, 2014. "A frequency-domain alternative to long-horizon regressions with application to return predictability," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 261-272.
- Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, vol. 20(4), pages 497-520, December.
- Khalaf, Lynda & Urga, Giovanni, 2014. "Identification robust inference in cointegrating regressions," Journal of Econometrics, Elsevier, vol. 182(2), pages 385-396.
- Chang, Yoosoon & Park, Joon & Song, Kevin, 2002.
"Bootstrapping Cointegrating Regressions,"
Working Papers
2002-04, Rice University, Department of Economics.
- Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
Cited by:
- Kejriwal, Mohitosh & Perron, Pierre, 2008.
"Data Dependent Rules For Selection Of The Number Of Leads And Lags In The Dynamic Ols Cointegrating Regression,"
Econometric Theory, Cambridge University Press, vol. 24(5), pages 1425-1441, October.
- Mohitosh Kejriwal & Pierre Perron, 2007. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2007-018, Boston University - Department of Economics.
- Mohitosh Kejriwal & Pierre Perron, 2006. "Data Dependent Rules for the Selection of the Number of Leads and Lags in the Dynamic OLS Cointegrating Regression," Boston University - Department of Economics - Working Papers Series WP2006-035, Boston University - Department of Economics.
- Seitz, Franz & von Landesberger, Julian, 2010.
"Household money holdings in the euro area: An explorative investigation,"
Working Paper Series
1238, European Central Bank.
- Franz Seitz & Julian von Landesberger, 2014. "Household Money Holdings in the Euro Area: An Explorative Investigation," Journal of Banking and Financial Economics, University of Warsaw, Faculty of Management, vol. 2(2), pages 83-115, November.
- Imed Drine & Christophe Rault, 2008.
"Purchasing Power Parity for Developing and Developed Countries. What can we Learn from Non-Stationary Panel Data Models?,"
CESifo Working Paper Series
2255, CESifo.
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries: What can we learn from Non-Stationary Panel Data Models," Post-Print halshs-00363678, HAL.
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity For Developing And Developed Countries. What Can We Learn From Non‐Stationary Panel Data Models?," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 752-773, September.
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for developing and developed countries. What can we learn from non-stationary panel data models?," Post-Print hal-00322105, HAL.
- Drine, Imed & Rault, Christophe, 2007. "Purchasing Power Parity for Developing and Developed Countries: What Can We Learn from Non-Stationary Panel Data Models?," IZA Discussion Papers 2887, Institute of Labor Economics (IZA).
- Imed Drine & Christophe Rault, 2008. "Purchasing Power Parity for Developing and Developed Countries: What can we learn from Non-Stationary Panel Data Models," Post-Print halshs-00363672, HAL.
- Herwartz, H. & Siedenburg, F., 2008. "Homogenous panel unit root tests under cross sectional dependence: Finite sample modifications and the wild bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 53(1), pages 137-150, September.
- Dong Jin Lee, 2021. "Bootstrap tests for structural breaks when the regressors and the serially correlated error term are unstable," Bulletin of Economic Research, Wiley Blackwell, vol. 73(2), pages 212-229, April.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 416-441, May.
- Trapani, Lorenzo & Urga, Giovanni, 2010.
"Micro versus macro cointegration in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
- Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Management, Information and Production Engineering, University of Bergamo.
- António AFONSO & Christophe RAULT, 2008.
"What do we Really Know About Fiscal Sustainability in the EU? A Panel Data Diagnostic,"
EcoMod2008
23800000, EcoMod.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00363685, HAL.
- Christophe Rault & Antonio Alfonso, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," William Davidson Institute Working Papers Series wp893, William Davidson Institute at the University of Michigan.
- António Afonso & Christophe Rault, 2010. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(4), pages 731-755, January.
- António Afonso & Christophe Rault, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Working Papers hal-00322091, HAL.
- António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers Department of Economics 2007/20, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00363690, HAL.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00202799, HAL.
- Afonso, António & Rault, Christophe, 2007. "What do we really know about fiscal sustainability in the EU? A panel data diagnostic," Working Paper Series 820, European Central Bank.
- António AFONSO & Christophe RAULT, 2008. "What do we Really Know about Fiscal Sustainability in the EU ? A Panel Data Diagnostic," LEO Working Papers / DR LEO 1757, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
- António Afonso & Christophe Rault, 2008. "What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," CESifo Working Paper Series 2226, CESifo.
- Antonio Afonso & Christophe Rault, 2008. "What do we Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Post-Print halshs-00363683, HAL.
- Francesca Di Iorio & Stefano Fachin, 2009. "A residual-based bootstrap test for panel cointegration," Economics Bulletin, AccessEcon, vol. 29(4), pages 3222-3232.
- Kascha, Christian & Trenkler, Carsten, 2011.
"Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order,"
Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 1008-1017, February.
- Christian Kascha & Carsten Trenkler, 2009. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper 2009/12, Norges Bank.
- SILVESTRINI, Andrea, 2010.
"Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration,"
LIDAM Reprints CORE
2220, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- SILVESTRINI, Andrea, 2007. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," LIDAM Discussion Papers CORE 2007080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques) 2007040, Université catholique de Louvain, Département des Sciences Economiques.
- Andrea Silvestrini, 2010. "Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration," Empirical Economics, Springer, vol. 39(1), pages 241-274, August.
- Andreas Dietrich, 2009.
"Does Growth Cause Structural Change, or Is it the Other Way Round? A Dynamic Panel Data Analyses for Seven OECD Countries,"
Jena Economics Research Papers
2009-034, Friedrich-Schiller-University Jena.
- Andreas Dietrich, 2012. "Does growth cause structural change, or is it the other way around? A dynamic panel data analysis for seven OECD countries," Empirical Economics, Springer, vol. 43(3), pages 915-944, December.
- Chang, Yoosoon, 2002.
"Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency,"
Working Papers
2000-01, Rice University, Department of Economics.
- Chang, Yoosoon, 2004. "Bootstrap unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 120(2), pages 263-293, June.
- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Econometric Society World Congress 2000 Contributed Papers 1585, Econometric Society.
- Yoosoon Chang, 2000. "Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency," Cowles Foundation Discussion Papers 1251, Cowles Foundation for Research in Economics, Yale University.
- Gutierrez, Luciano & Erickson, Kenneth W. & Westerlund, Joakim, 2005. "The Present Value Model, Farmland Prices and Structural Breaks," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24702, European Association of Agricultural Economists.
- Timothy K. Chue & In Choi, 2007. "Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 233-264.
- Stephan Smeekes & Jean-Pierre Urbain, 2014.
"On the Applicability of the Sieve Bootstrap in Time Series Panels,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(1), pages 139-151, February.
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"Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries,"
Cahiers de recherche
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- Park, Joon Y. & Qian, Junhui, 2012. "Functional regression of continuous state distributions," Journal of Econometrics, Elsevier, vol. 167(2), pages 397-412.
- Amilcar Velez, 2023. "The Local Projection Residual Bootstrap for AR(1) Models," Papers 2309.01889, arXiv.org, revised Feb 2024.
- Franz Seitz & Julian von Landesberger, 2012. "Household Money Demand: The Euro Area Case," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 148(III), pages 409-438, September.
- Chang, Yoosoon & Song, Wonho, 2005. "Unit Root Tests for Panels in the Presence of Short-run and Long-run Dependencies: Nonlinear IV Approach with Fixed N and Large T," Working Papers 2002-06, Rice University, Department of Economics.
- Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
- McAdam, Peter & Willman, Alpo & León-Ledesma, Miguel A., 2010. "In dubio pro CES - Supply estimation with mis-specified technical change," Working Paper Series 1175, European Central Bank.
- Xingyu Li & Yan Shen & Qiankun Zhou, 2022. "Confidence Intervals of Treatment Effects in Panel Data Models with Interactive Fixed Effects," Papers 2202.12078, arXiv.org.
- Zou, Nan & Politis, Dimitris N., 2019. "Linear process bootstrap unit root test," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 74-80.
- Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2009. "Co-integration rank tests under conditional heteroskedasticity," Discussion Papers 09/02, University of Nottingham, Granger Centre for Time Series Econometrics.
- Holt, Matthew T. & Craig, Lee A., 2006. "AJAE Appendix: Nonlinear Dynamics and Structural Change in the U.S. Hog-Corn Ratio: A Time-Varying Star Approach," American Journal of Agricultural Economics APPENDICES, Agricultural and Applied Economics Association, vol. 88(1), pages 1-16, February.
- Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrap hypothesis testing in regression models," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 356-365, October.
- Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001.
"Nonlinear Instrumental Variable Estimation of an Autoregression,"
Cowles Foundation Discussion Papers
1331, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon, 2004. "Nonlinear instrumental variable estimation of an autoregression," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 219-246.
Cited by:
- Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
- Yoosoon Chang, 2004.
"Taking a New Contour: A Novel Approach to Panel Unit Root Tests,"
Econometric Society 2004 Far Eastern Meetings
796, Econometric Society.
- Chang, Yoosoon, 2012. "Taking a new contour: A novel approach to panel unit root tests," Journal of Econometrics, Elsevier, vol. 169(1), pages 15-28.
- Chang, Yoosoon, 2004. "Taking a New Contour: A Novel Approach to Panel Unit Root Tests," Working Papers 2004-05, Rice University, Department of Economics.
- Chang, Yoosoon, 2002.
"Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency,"
Working Papers
2000-08, Rice University, Department of Economics.
- Yoosoon Chang, 2000. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," CIRJE F-Series CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Yoosoon, 2002. "Nonlinear IV unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 110(2), pages 261-292, October.
- Matei Demetrescu & Christoph Hanck, 2016. "Robust Inference for Near-Unit Root Processes with Time-Varying Error Variances," Econometric Reviews, Taylor & Francis Journals, vol. 35(5), pages 751-781, May.
- Meng, Ming & Lee, Hyejin & Cho, Myeong Hyeon & Lee, Junsoo, 2013. "Impacts of the initial observation on unit root tests using recursive demeaning and detrending procedures," Economics Letters, Elsevier, vol. 120(2), pages 195-199.
- Kyung So Im & Junsoo Lee & Vladimir Arcabic & Mansik Hur, 2018. "DF-IV Unit Root Tests Using Stationary Instrument Variables," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(1), pages 1-1.
- Chevillon, Guillaume & Mavroeidis, Sophocles & Zhan, Zhaoguo, 2016. "Robust inference in structural VARs with long-run restrictions," ESSEC Working Papers WP1702, ESSEC Research Center, ESSEC Business School.
- Kang, Wensheng, 2011. "Housing price dynamics and convergence in high-tech metropolitan economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(3), pages 283-291, June.
- J. Isaac Miller, 2010.
"A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels,"
Working Papers
1001, Department of Economics, University of Missouri.
- Miller J. Isaac, 2010. "A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels," Journal of Time Series Econometrics, De Gruyter, vol. 2(1), pages 1-38, September.
- Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
- Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012.
"IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance,"
VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century
62072, Verein für Socialpolitik / German Economic Association.
- Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
- Kuzin, Vladimir, 2005. "Recursive demeaning and deterministic seasonality," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 195-204, May.
- Tsung-wu Ho, 2009. "The inflation rates may accelerate after all: panel evidence from 19 OECD economies," Empirical Economics, Springer, vol. 36(1), pages 55-64, February.
- Kim, Chang Sik & Kim, In-Moo, 2008. "Nonlinear regression for unit root models with autoregressive errors," Economics Letters, Elsevier, vol. 100(3), pages 326-329, September.
- Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
- Kim, Jihyun & Meddahi, Nour, 2020. "Volatility regressions with fat tails," Journal of Econometrics, Elsevier, vol. 218(2), pages 690-713.
- Chi‐Young Choi & Nelson C. Mark & Donggyu Sul, 2010. "Bias Reduction in Dynamic Panel Data Models by Common Recursive Mean Adjustment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 567-599, October.
- Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
- Lee, Hyejin & Meng, Ming & Lee, Junsoo, 2012. "Performance of nonlinear instrumental variable unit root tests using recursive detrending methods," Economics Letters, Elsevier, vol. 117(1), pages 214-216.
- Kim, Jihyun & Meddahi, Nour, 2020. "Volatility Regressions with Fat Tails," TSE Working Papers 20-1097, Toulouse School of Economics (TSE).
- Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
- Rodrigues, Paulo M.M., 2006.
"Properties of recursive trend-adjusted unit root tests,"
Economics Letters, Elsevier, vol. 91(3), pages 413-419, June.
- Paulo M. M. Rodrigues, 2004. "Properties of Recursive Trend-Adjusted Unit Root Tests," Economics Working Papers ECO2004/31, European University Institute.
- Jihyun Kim & Nour Meddahi, 2020. "Volatility Regressions with Fat Tails," Post-Print hal-03142647, HAL.
- Ho, Tsung-wu, 2008. "Testing seasonal mean-reversion in the real exchange rates: An application of nonlinear IV estimator," Economics Letters, Elsevier, vol. 99(2), pages 314-316, May.
- Neil Shephard, 2020. "An estimator for predictive regression: reliable inference for financial economics," Papers 2008.06130, arXiv.org.
- Peter C.B. Phillips & Joon Y. Park, 1999.
"Nonstationary Binary Choice,"
Cowles Foundation Discussion Papers
1223, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
Cited by:
- Mathias Drehmann, 2013.
"Evaluating early warning indicators of banking crises: Satisfying policy requirements,"
BIS Working Papers
421, Bank for International Settlements.
- Drehmann, Mathias & Juselius, Mikael, 2014. "Evaluating early warning indicators of banking crises: Satisfying policy requirements," International Journal of Forecasting, Elsevier, vol. 30(3), pages 759-780.
- Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
- Seung Hyun Hong & Peter C. B. Phillips, 2005.
"Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity,"
Cowles Foundation Discussion Papers
1541, Cowles Foundation for Research in Economics, Yale University.
- Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
- Qu, Xi & Lee, Lung-fei, 2013. "Locally most powerful tests for spatial interactions in the simultaneous SAR Tobit model," Regional Science and Urban Economics, Elsevier, vol. 43(2), pages 307-321.
- Xu, Peng, 2015. "Testing for joint significance in nonstationary ordered choice model," Economics Letters, Elsevier, vol. 130(C), pages 5-8.
- Chu, Chia-Shang J. & Liu, Nan & Zhang, Lina, 2017. "Significance test in nonstationary logit panel model with serially correlated dependent variable," Economics Letters, Elsevier, vol. 159(C), pages 37-41.
- Yoichi Arai, 2015.
"Testing for Linearity in Regressions with I(1) Processes,"
GRIPS Discussion Papers
15-11, National Graduate Institute for Policy Studies.
- Yoichi Arai, 2004. "Testing for Linearity in Regressions with I (1) processes," CARF F-Series CARF-F-014, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yoichi Arai, 2004. "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series CIRJE-F-303, CIRJE, Faculty of Economics, University of Tokyo.
- Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
- Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005.
"Nonstationary Discrete Choice: A Corrigendum and Addendum,"
Cowles Foundation Discussion Papers
1516, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Jin, Sainan & Hu, Ling, 2007. "Nonstationary discrete choice: A corrigendum and addendum," Journal of Econometrics, Elsevier, vol. 141(2), pages 1115-1130, December.
- Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2013. "Granger-causality in peripheral EMU public debt markets: A dynamic approach," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4627-4649.
- Park, Byeong U. & Simar, Léopold & Zelenyuk, Valentin, 2017.
"Nonparametric estimation of dynamic discrete choice models for time series data,"
Computational Statistics & Data Analysis, Elsevier, vol. 108(C), pages 97-120.
- Byeong U. Park & Leopold Simar & Valentin Zelenyuk, 2016. "Nonparametric Estimation of Dynamic Discrete Choice Models for Time Series Data," CEPA Working Papers Series WP062016, School of Economics, University of Queensland, Australia.
- Park, Byeong U. & Simar, Leopold & Zelenyuk, Valentin, 2017. "Nonparametric estimation of dynamic discrete choice models for time series data," LIDAM Reprints ISBA 2017011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Chang, Yoosoon & Park, Joon Y., 2003. "Index models with integrated time series," Journal of Econometrics, Elsevier, vol. 114(1), pages 73-106, May.
- Peter C.B. Phillips & Yangru Wu & Jun Yu, 2009.
"Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?,"
Cowles Foundation Discussion Papers
1699, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
- Peter C.B.Phillips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers CoFie-03-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 19-2009, Singapore Management University, School of Economics.
- Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
- Peter C.B. Philips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?," Finance Working Papers 23050, East Asian Bureau of Economic Research.
- Detken, Carsten & Peltonen, Tuomas A. & Schudel, Willem & Behn, Markus, 2013. "Setting countercyclical capital buffers based on early warning models: would it work?," Working Paper Series 1604, European Central Bank.
- Michael C. Davis & James D. Hamilton, 2003.
"Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices,"
NBER Working Papers
9741, National Bureau of Economic Research, Inc.
- Davis, Michael C & Hamilton, James D, 2004. "Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(1), pages 17-37, February.
- Truquet, Lionel, 2023. "Strong mixing properties of discrete-valued time series with exogenous covariates," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 294-317.
- Wang, Xichen & Yan, Ji (Karena) & Yan, Cheng & Gozgor, Giray, 2021. "Emerging stock market exuberance and international short-term flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
- Hanying Liang & Peter C.B. Phillips & Hanchao Wang & Qiying Wang, 2014.
"Weak Convergence to Stochastic Integrals for Econometric Applications,"
Cowles Foundation Discussion Papers
1971, Cowles Foundation for Research in Economics, Yale University.
- Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
- Lahiri, Kajal & Yang, Liu, 2013.
"Forecasting Binary Outcomes,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1025-1106,
Elsevier.
- Kajal Lahiri & Liu Yang, 2012. "Forecasting Binary Outcomes," Discussion Papers 12-09, University at Albany, SUNY, Department of Economics.
- Moon, Hyungsik Roger, 2004. "Maximum score estimation of a nonstationary binary choice model," Journal of Econometrics, Elsevier, vol. 122(2), pages 385-403, October.
- Hu, Zhishui & Phillips, Peter C.B. & Wang, Qiying, 2021.
"Nonlinear Cointegrating Power Function Regression With Endogeneity,"
Econometric Theory, Cambridge University Press, vol. 37(6), pages 1173-1213, December.
- Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019. "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers 2211, Cowles Foundation for Research in Economics, Yale University.
- Markus Behn & Carsten Detken & Tuomas Peltonen & Willem Schudel, 2017.
"Predicting Vulnerabilities in the EU Banking Sector: The Role of Global and Domestic Factors,"
International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 147-189, December.
- Behn, Markus & Detken, Carsten & Peltonen, Tuomas A. & Schudel, Willem, 2016. "Predicting vulnerabilities in the EU banking sector: the role of global and domestic factors," ESRB Working Paper Series 29, European Systemic Risk Board.
- Guerre, Emmanuel & Moon, Hyungsik Roger, 2002. "A note on the nonstationary binary choice logit model," Economics Letters, Elsevier, vol. 76(2), pages 267-271, July.
- Peter C.B. Phillips & Sainan Jin, 2013.
"Testing the Martingale Hypothesis,"
Cowles Foundation Discussion Papers
1912, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Mao, Guangyu, 2014. "Testing for joint significance in nonstationary binary choice model," Economics Letters, Elsevier, vol. 122(2), pages 311-313.
- Ling Hu & Peter C.B. Phillips, 2002. "Dynamics of the Federal Funds Target Rate: A Nonstationary Discrete Choice Approach," Cowles Foundation Discussion Papers 1365, Cowles Foundation for Research in Economics, Yale University.
- Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
- Dong He & Laurent L. Pauwels, 2008.
"What Prompts the People's Bank of China to Change Its Monetary Policy Stance? Evidence from a Discrete Choice Model,"
China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 16(6), pages 1-21, November.
- Dong He & Laurent Pauwels, 2008. "What Prompts the People's Bank of China to Change its Monetary Policy Stance? Evidence from a Discrete Choice Model," Working Papers 0806, Hong Kong Monetary Authority.
- Phillips, Peter C. B., 2001.
"Trending time series and macroeconomic activity: Some present and future challenges,"
Journal of Econometrics, Elsevier, vol. 100(1), pages 21-27, January.
- Peter C.B. Phillips, 2000. "Trending Time Series and Macroeconomic Activity: Some Present and Future Challenges," Cowles Foundation Discussion Papers 1264, Cowles Foundation for Research in Economics, Yale University.
- Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
- Kristensen, Dennis & Shin, Yongseok, 2012.
"Estimation of dynamic models with nonparametric simulated maximum likelihood,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
- Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
- de Jong, Robert & Hu, Ling, 2011. "A note on nonlinear models with integrated regressors and convergence order results," Economics Letters, Elsevier, vol. 111(1), pages 23-25, April.
- Ioannis Kasparis & Peter C.B. Phillips, 2009.
"Dynamic Misspecification in Nonparametric Cointegrating Regression,"
Cowles Foundation Discussion Papers
1700, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B.Phillips & Ioannis Kasparis, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," Working Papers CoFie-01-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Ioannis Kasparis & Peter C. B. Phillips, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," University of Cyprus Working Papers in Economics 2-2009, University of Cyprus Department of Economics.
- Kasparis, Ioannis & Phillips, Peter C.B., 2012. "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, vol. 168(2), pages 270-284.
- Jin, Sainan, 2009. "Discrete choice modeling with nonstationary panels applied to exchange rate regime choice," Journal of Econometrics, Elsevier, vol. 150(2), pages 312-321, June.
- Phillips, Peter C.B., 2009.
"Local Limit Theory And Spurious Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
- Peter C.B. Phillips, 2008. "Local Limit Theory and Spurious Nonparametric Regression," Cowles Foundation Discussion Papers 1654, Cowles Foundation for Research in Economics, Yale University.
- Emine Ebru Er & Cihan Tanrıöven, 2022. "A Sudden Stops in International Capital Flows: The Case of Turkey," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(37), pages 129-148, December.
- Mathias Drehmann & Kostas Tsatsaronis, 2014. "The credit-to-GDP gap and countercyclical capital buffers: questions and answers," BIS Quarterly Review, Bank for International Settlements, March.
- André K. Anundsen & Karsten Gerdrup & Frank Hansen & Kasper Kragh‐Sørensen, 2016.
"Bubbles and Crises: The Role of House Prices and Credit,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1291-1311, November.
- André K. Anundsen & Frank Hansen & Karsten Gerdrup & Kasper Kragh-Sørensen, 2014. "Bubbles and crises: The role of house prices and credit," Working Paper 2014/14, Norges Bank.
- Siem Jan Koopman & Marius Ooms & André Lucas & Kees van Montfort & Victor Van Der Geest, 2008.
"Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 62(1), pages 104-130, February.
- Siem Jan Koopman & André Lucas & Marius Ooms & Kees van Montfort & Victor van der Geest, 2007. "Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model," Tinbergen Institute Discussion Papers 07-027/4, Tinbergen Institute.
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
- Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.
- Gould, David M. & Melecky, Martin & Panterov, Georgi, 2016. "Finance, growth and shared prosperity: Beyond credit deepening," Journal of Policy Modeling, Elsevier, vol. 38(4), pages 737-758.
- Sondermann, David & Zorell, Nico, 2019. "A macroeconomic vulnerability model for the euro area," Working Paper Series 2306, European Central Bank.
- Mr. Markus Eberhardt & Mr. Andrea F Presbitero, 2018. "Commodity Price Movements and Banking Crises," IMF Working Papers 2018/153, International Monetary Fund.
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013.
"Nonparametric Predictive Regression,"
CEPR Discussion Papers
9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Kim, Chang Sik & Kim, In-Moo, 2008. "Nonlinear regression for unit root models with autoregressive errors," Economics Letters, Elsevier, vol. 100(3), pages 326-329, September.
- Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
- Hyeongwoo Kim & Wen Shi, 2017.
"The Determinants of the Benchmark Interest Rates in China: A Discrete Choice Model Approach,"
Auburn Economics Working Paper Series
auwp2017-04, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi, 2014. "The Determinants of the Benchmark Interest Rates in China: A Discrete Choice Model Approach," Auburn Economics Working Paper Series auwp2014-12, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi, 2016. "The Determinants of the Benchmark Interest Rates in China: A Discrete Choice Model Approach," Auburn Economics Working Paper Series auwp2016-14, Department of Economics, Auburn University.
- Hyeongwoo Kim, 2014. "Estimating Interest Rate Setting Behavior in Korea: An Ordered Probit Model Approach," Auburn Economics Working Paper Series auwp2014-02, Department of Economics, Auburn University.
- Lin, Yingqian & Tu, Yundong, 2021. "On transformed linear cointegration models," Economics Letters, Elsevier, vol. 198(C).
- Silver, Steven D. & Raseta, Marko & Bazarova, Alina, 2023. "Stochastic resonance in the recovery of signal from agent price expectations," Chaos, Solitons & Fractals, Elsevier, vol. 174(C).
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
- Weilun Zhou & Jiti Gao & David Harris & Hsein Kew, 2019. "Semiparametric Single-index Predictive Regression," Monash Econometrics and Business Statistics Working Papers 25/19, Monash University, Department of Econometrics and Business Statistics.
- Bhattacharya, Mita & Inekwe, John N. & Sadorsky, Perry, 2020. "Convergence of energy productivity in Australian states and territories: Determinants and forecasts," Energy Economics, Elsevier, vol. 85(C).
- Kim, Hyeongwoo & Shi, Wen, 2018. "The determinants of the benchmark interest rates in China," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 395-417.
- Schudel, Willem, 2015. "Shifting horizons: assessing macro trends before, during, and following systemic banking crises," Working Paper Series 1766, European Central Bank.
- João Barata Ribeiro Blanco Barroso, 2012. "Optimal Capital Flow Taxes in Latin America," Working Papers Series 268, Central Bank of Brazil, Research Department.
- Koch, Nicolas, 2014. "Tail events: A new approach to understanding extreme energy commodity prices," Energy Economics, Elsevier, vol. 43(C), pages 195-205.
- Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001.
"Nonlinear econometric models with cointegrated and deterministically trending regressors,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
- Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
- Igor Kheifets & Carlos Velasco, 2012.
"Model Adequacy Checks for Discrete Choice Dynamic Models,"
Working Papers
w0170, New Economic School (NES).
- Igor Kheifets & Carlos Velasco, 2012. "Model Adequacy Checks for Discrete Choice Dynamic Models," Working Papers w0170, Center for Economic and Financial Research (CEFIR).
- Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023. "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers 2365, Cowles Foundation for Research in Economics, Yale University.
- Wickes, Ron, 2021. "Trade deficits and trade conflict: The United States and Japan," Japan and the World Economy, Elsevier, vol. 60(C).
- Seulki Chung, 2023. "Real-time Prediction of the Great Recession and the Covid-19 Recession," Papers 2310.08536, arXiv.org, revised Mar 2024.
- Ling Hu & Peter C.B. Phillips, 2002.
"Nonstationary Discrete Choice,"
Cowles Foundation Discussion Papers
1364, Cowles Foundation for Research in Economics, Yale University.
- Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
- Schumann, Martin & Tripathi, Gautam, 2018. "Convexity of probit weights," Statistics & Probability Letters, Elsevier, vol. 143(C), pages 81-85.
- Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
- Hyeongwoo Kim & John Jackson & Richard Saba, 2009. "Forecasting the FOMC's interest rate setting behavior: a further analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(2), pages 145-165.
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- Yoosoon Chang, 2000. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," CIRJE F-Series CIRJE-F-85, CIRJE, Faculty of Economics, University of Tokyo.
- Chang, Yoosoon, 2002. "Nonlinear IV unit root tests in panels with cross-sectional dependency," Journal of Econometrics, Elsevier, vol. 110(2), pages 261-292, October.
- Joon Y. Park & Peter C.B. Phillips, 1998.
"Nonlinear Regressions with Integrated Time Series,"
Cowles Foundation Discussion Papers
1190, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
- Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015.
"Testing linearity using power transforms of regressors,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
- YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "Testing Linearity Using Power Transforms of Regressors," Working papers 2015rwp-79, Yonsei University, Yonsei Economics Research Institute.
- Yae In Baek & Jin Seo Cho & Peter C.B. Phillips, 2013. "Testing Linearity Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 1917, Cowles Foundation for Research in Economics, Yale University.
- Delatte, Anne-Laure & Fouguau, Julien & Holz, Carsten A., 2011.
"Explaining money demand in China during the transition from a centrally planned to a market-based monetary system,"
BOFIT Discussion Papers
27/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
- Anne-Laure Delatte & Julien Fouquau & Carsten A. Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Print hal-01160174, HAL.
- Anne-Laure Delatte & Julien Fouquau & Carsten Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Communist Economies, Taylor & Francis Journals, vol. 26(3), pages 376-400, September.
- Anne-Laure Delatte & Julien Fouquau & Carsten A. Holz, 2011. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Print hal-00756576, HAL.
- Huang, J. & Kobayashi, M. & McAleer, M.J., 2011.
"Testing the Box-Cox Parameter for an Integrated Process,"
Econometric Institute Research Papers
EI 2010-77, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," Working Papers in Economics 10/77, University of Canterbury, Department of Economics and Finance.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2011. "Testing the Box-Cox Parameter for an Integrated Process," Documentos de Trabajo del ICAE 2011-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2010. "Testing the Box-Cox Parameter for an Integrated Process," KIER Working Papers 750, Kyoto University, Institute of Economic Research.
- Marmer, Vadim, 2008.
"Nonlinearity, nonstationarity, and spurious forecasts,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
- Vadim Marmer, 2005. "Nonlinearity, Nonstationarity and Spurious Forecasts," Econometrics 0503002, University Library of Munich, Germany, revised 15 Dec 2005.
- Marmer, Vadim, 2009. "Nonlinearity, Nonstationarity, and Spurious Forecasts," Microeconomics.ca working papers vadim_marmer-2009-60, Vancouver School of Economics, revised 03 Nov 2009.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008.
"Regression asymptotics using martingale convergence methods,"
Scholarly Articles
2624459, Harvard University Department of Economics.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(4), pages 888-947, August.
- Rustam Ibragimov & Peter C.B. Phillips, 2004. "Regression Asymptotics Using Martingale Convergence Methods," Cowles Foundation Discussion Papers 1473, Cowles Foundation for Research in Economics, Yale University.
- Trapani, Lorenzo & Urga, Giovanni, 2010.
"Micro versus macro cointegration in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
- Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Management, Information and Production Engineering, University of Bergamo.
- Peter C.B. Phillips & Joon Y. Park, 1999.
"Nonstationary Binary Choice,"
Cowles Foundation Discussion Papers
1223, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
- Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
- Youngsoo Bae & Robert M. de Jong, 2007. "Money demand function estimation by nonlinear cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 767-793.
- Yoichi Arai, 2015.
"Testing for Linearity in Regressions with I(1) Processes,"
GRIPS Discussion Papers
15-11, National Graduate Institute for Policy Studies.
- Yoichi Arai, 2004. "Testing for Linearity in Regressions with I (1) processes," CARF F-Series CARF-F-014, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yoichi Arai, 2004. "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series CIRJE-F-303, CIRJE, Faculty of Economics, University of Tokyo.
- Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
- Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005.
"Nonstationary Discrete Choice: A Corrigendum and Addendum,"
Cowles Foundation Discussion Papers
1516, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Jin, Sainan & Hu, Ling, 2007. "Nonstationary discrete choice: A corrigendum and addendum," Journal of Econometrics, Elsevier, vol. 141(2), pages 1115-1130, December.
- Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers 59/17, Institute for Fiscal Studies.
- Christian Gourieroux & Joann Jasiak, 2011.
"Nonlinear Persistence and Copersistence,"
Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103,
Palgrave Macmillan.
- Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
- Pötscher, Benedikt M., 2011.
"On the Order of Magnitude of Sums of Negative Powers of Integrated Processes,"
MPRA Paper
28287, University Library of Munich, Germany.
- Pötscher, Benedikt M., 2013. "On The Order Of Magnitude Of Sums Of Negative Powers Of Integrated Processes," Econometric Theory, Cambridge University Press, vol. 29(3), pages 642-658, June.
- Chang, Yoosoon & Park, Joon Y., 2003. "Index models with integrated time series," Journal of Econometrics, Elsevier, vol. 114(1), pages 73-106, May.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2014.
"Specification Testing in Nonstationary Time Series Models,"
Discussion Papers
14/19, Department of Economics, University of York.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
- Jian Huang & Masahito Kobayashi & Michael McAleer, 2009. "Testing the Box-Cox Parameter in an Integrated Process," CIRJE F-Series CIRJE-F-661, CIRJE, Faculty of Economics, University of Tokyo.
- K. Hassanain, 2004. "Purchasing Power Parity And Cross‐Sectional Dependency," South African Journal of Economics, Economic Society of South Africa, vol. 72(2), pages 238-257, June.
- Sam, Aflaki & Syed Abul, Basher & Andrea, Masini, 2016.
"Does economic growth matter? Technology-push, demand-pull and endogenous drivers of innovation in the renewable energy industry,"
MPRA Paper
69773, University Library of Munich, Germany.
- Sam Aflaki & Syed Abul Basher & Andrea Masini, 2015. "Does Economic Growth Matter? Technology-Push, Demand-Pull and Endogenous Drivers of Innovation in the Renewable Energy Industry," Working Papers hal-02011423, HAL.
- Hanying Liang & Peter C.B. Phillips & Hanchao Wang & Qiying Wang, 2014.
"Weak Convergence to Stochastic Integrals for Econometric Applications,"
Cowles Foundation Discussion Papers
1971, Cowles Foundation for Research in Economics, Yale University.
- Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
- Yoon, Gawon, 2005. "An introduction to I([infinity]) processes," Economic Modelling, Elsevier, vol. 22(3), pages 473-483, May.
- Li, Haiqi & Zheng, Chaowen & Guo, Yu, 2016. "Estimation and test for quantile nonlinear cointegrating regression," Economics Letters, Elsevier, vol. 148(C), pages 27-32.
- Chaohua Dong & Jiti Gao, 2014. "Specification Testing in Structural Nonparametric Cointegration," Monash Econometrics and Business Statistics Working Papers 2/14, Monash University, Department of Econometrics and Business Statistics.
- Park, Joon Y. & Whang, Yoon-Jae, 2004.
"A Test of the Martingale Hypothesis,"
Working Papers
2004-11, Rice University, Department of Economics.
- Park Joon Y. & Whang Yoon-Jae, 2005. "A Test of the Martingale Hypothesis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(2), pages 1-32, June.
- Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
- Divino, Jose Angelo & Maciel, Daniel T.G.N. & Sosa, Wilfredo, 2020. "Government size, composition of public spending and economic growth in Brazil," Economic Modelling, Elsevier, vol. 91(C), pages 155-166.
- Wagner, Martin, 2006.
"The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?,"
Economics Series
197, Institute for Advanced Studies.
- Martin Wagner & Georg M ller-F rstenberger, 2004. "The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?," Diskussionsschriften dp0418, Universitaet Bern, Departement Volkswirtschaft.
- Wagner, Martin, 2008. "The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?," Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
- Im, K.S. & Pesaran, M.H., 2003. "On The Panel Unit Root Tests Using Nonlinear Instrumental Variables," Cambridge Working Papers in Economics 0347, Faculty of Economics, University of Cambridge.
- Degui Li & Dag Tjøstheim & Jiti Gao, 2012. "Nonlinear Regression with Harris Recurrent Markov Chains," Monash Econometrics and Business Statistics Working Papers 14/12, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Joon Y. Park & Yoosoon Chang, 2001.
"Nonlinear Instrumental Variable Estimation of an Autoregression,"
Cowles Foundation Discussion Papers
1331, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C. B. & Park, Joon Y. & Chang, Yoosoon, 2004. "Nonlinear instrumental variable estimation of an autoregression," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 219-246.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2023.
"Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models,"
Monash Econometrics and Business Statistics Working Papers
2/23, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Yundong Tu & Bin Peng, 2023. "Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models," Papers 2301.06631, arXiv.org.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
- Martin Wagner, 2023. "Residual-based cointegration and non-cointegration tests for cointegrating polynomial regressions," Empirical Economics, Springer, vol. 65(1), pages 1-31, July.
- Peter C.B. Phillips & Sainan Jin, 2013.
"Testing the Martingale Hypothesis,"
Cowles Foundation Discussion Papers
1912, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Mao, Guangyu, 2014. "Testing for joint significance in nonstationary binary choice model," Economics Letters, Elsevier, vol. 122(2), pages 311-313.
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Robert de Jong, 2004. "Nonlinear estimators with integrated regressors but without exogeneity," Econometric Society 2004 North American Winter Meetings 324, Econometric Society.
- Matei Demetrescu & Christoph Hanck, 2013. "Nonlinear IV panel unit root testing under structural breaks in the error variance," Statistical Papers, Springer, vol. 54(4), pages 1043-1066, November.
- Federico M. Bandi & Peter C.B. Phillips, 2005.
"A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions,"
Cowles Foundation Discussion Papers
1522, Cowles Foundation for Research in Economics, Yale University.
- Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
- Müller-Fürstenberger, Georg & Wagner, Martin, 2006.
"Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems,"
Economics Series
183, Institute for Advanced Studies.
- Muller-Furstenberger, Georg & Wagner, Martin, 2007. "Exploring the environmental Kuznets hypothesis: Theoretical and econometric problems," Ecological Economics, Elsevier, vol. 62(3-4), pages 648-660, May.
- Biqing Cai & Chaohua Dong & Jiti Gao, 2015. "Orthogonal Series Estimation in Nonlinear Cointegrating Models with Endogeneity," Monash Econometrics and Business Statistics Working Papers 18/15, Monash University, Department of Econometrics and Business Statistics.
- Yoonseok Lee & Yulong Wang, 2020. "Inference in Threshold Models," Center for Policy Research Working Papers 223, Center for Policy Research, Maxwell School, Syracuse University.
- Oliver Linton & Mototsugu Shintani, 2001.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
FMG Discussion Papers
dp383, Financial Markets Group.
- Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
- Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
- Kasparis, Ioannis, 2010. "The Bierens test for certain nonstationary models," Journal of Econometrics, Elsevier, vol. 158(2), pages 221-230, October.
- Burak Alparslan Eroğlu & J. Isaac Miller & Taner Yiğit, 2022.
"Time-varying cointegration and the Kalman filter,"
Econometric Reviews, Taylor & Francis Journals, vol. 41(1), pages 1-21, January.
- Burak Alparslan Eroglu & J. Isaac Miller & Taner Yigit, 2019. "Time-Varying Cointegration and the Kalman Filter," Working Papers 1905, Department of Economics, University of Missouri.
- Qiying Wang & Peter C. B. Phillips, 2022. "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," Cowles Foundation Discussion Papers 2337, Cowles Foundation for Research in Economics, Yale University.
- Xu, Ke-Li & Phillips, Peter C.B., 2008.
"Adaptive estimation of autoregressive models with time-varying variances,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 265-280, January.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585R, Cowles Foundation for Research in Economics, Yale University, revised Nov 2006.
- Ke-Li Xu & Peter C.B. Phillips, 2006. "Adaptive Estimation of Autoregressive Models with Time-Varying Variances," Cowles Foundation Discussion Papers 1585, Cowles Foundation for Research in Economics, Yale University.
- Chan, Nigel & Wang, Qiying, 2015. "Nonlinear regressions with nonstationary time series," Journal of Econometrics, Elsevier, vol. 185(1), pages 182-195.
- Chung, Heetaik & Park, Joon Y., 2007.
"Nonstationary nonlinear heteroskedasticity in regression,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
- Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society.
- Hanck, Christoph & Demetrescu, Matei & Tarcolea, Adina, 2012.
"IV-Based Cointegration Testing in Dependent Panels with Time-Varying Variance,"
VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century
62072, Verein für Socialpolitik / German Economic Association.
- Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
- Joon Y. Park & Mototsugu Shintani, 2016. "Testing For A Unit Root Against Transitional Autoregressive Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 57(2), pages 635-664, May.
- Kapetanios George, 2003. "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(2), pages 1-16, July.
- Valentina Corradi & Norman R. Swanson, 2003.
"The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test,"
Departmental Working Papers
200322, Rutgers University, Department of Economics.
- Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
- Ioannis Kasparis & Peter C.B. Phillips, 2009.
"Dynamic Misspecification in Nonparametric Cointegrating Regression,"
Cowles Foundation Discussion Papers
1700, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B.Phillips & Ioannis Kasparis, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," Working Papers CoFie-01-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Ioannis Kasparis & Peter C. B. Phillips, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," University of Cyprus Working Papers in Economics 2-2009, University of Cyprus Department of Economics.
- Kasparis, Ioannis & Phillips, Peter C.B., 2012. "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, vol. 168(2), pages 270-284.
- Jin, Sainan, 2009. "Discrete choice modeling with nonstationary panels applied to exchange rate regime choice," Journal of Econometrics, Elsevier, vol. 150(2), pages 312-321, June.
- Yu, Jun, 2014.
"Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results,"
Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
- Jun YU, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers 21-2009, Singapore Management University, School of Economics.
- Jun Yu, 2009. "Econometric Analysis of Continuous Time Models: A Survey of Peter Phillips' Work and Some New Results," Working Papers CoFie-04-2009, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
- Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
- Phillips, Peter C.B., 2009.
"Local Limit Theory And Spurious Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
- Peter C.B. Phillips, 2008. "Local Limit Theory and Spurious Nonparametric Regression," Cowles Foundation Discussion Papers 1654, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y., 2002. "Nonstationary nonlinear heteroskedasticity," Journal of Econometrics, Elsevier, vol. 110(2), pages 383-415, October.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2006.
"Threshold effects in cointegrating relationships,"
UC3M Working papers. Economics
we20060621, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Jesús Gonzalo & Jean‐Yves Pitarakis, 2006. "Threshold Effects in Cointegrating Relationships," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 68(s1), pages 813-833, December.
- Xiao, Zhijie, 2012. "Robust inference in nonstationary time series models," Journal of Econometrics, Elsevier, vol. 169(2), pages 211-223.
- Gotz, Linde & Qiu, Feng & Glauben, Thomas, 2012. "The Law of One Price under State-Dependent Policy Intervention: An Application to the Ukrainian Wheat Market," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124904, Agricultural and Applied Economics Association.
- Wang, Shaoping & Wang, Peng & Yang, Jisheng & Li, Zinai, 2010. "A generalized nonlinear IV unit root test for panel data with cross-sectional dependence," Journal of Econometrics, Elsevier, vol. 157(1), pages 101-109, July.
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," Journal of Econometrics, Elsevier, vol. 216(1), pages 175-191.
- Lee, Jungick & de Jong, Robert M., 2008. "Exponential functionals of integrated processes," Economics Letters, Elsevier, vol. 100(2), pages 181-184, August.
- Gourieroux, Christian & Josiak, Joann, 1999.
"Nonlinear persistence and copersistence,"
CEPREMAP Working Papers (Couverture Orange)
9920, CEPREMAP.
- Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
- Busettti, F. & Harvey, A., 2007.
"Tests of time-invariance,"
Cambridge Working Papers in Economics
0701, Faculty of Economics, University of Cambridge.
- Busettti, F. & Harvey, A., 2007. "Tests of time-invariance," Cambridge Working Papers in Economics 0657, Faculty of Economics, University of Cambridge.
- Biqing Cai & Jiti Gao, 2013. "Hermite Series Estimation in Nonlinear Cointegrating Models," Monash Econometrics and Business Statistics Working Papers 17/13, Monash University, Department of Econometrics and Business Statistics.
- YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
- Miller, J. Isaac & Park, Joon Y., 2010.
"Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory,"
Journal of Econometrics, Elsevier, vol. 155(1), pages 83-89, March.
- Joon Y. Park & J. Isaac Miller, 2004. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings 597, Econometric Society.
- J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
- James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.
- Joon Y. Park & Mototsugu Shintani, 2005.
"Testing for a Unit Root against Transitional Autoregressive Models,"
Vanderbilt University Department of Economics Working Papers
05010, Vanderbilt University Department of Economics.
- Joon Y. Park & Mototsugu Shintani, 2006. "Testing for a Unit Root against Transitional Autoregressive Models," Levine's Bibliography 321307000000000316, UCLA Department of Economics.
- Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Monash Econometrics and Business Statistics Working Papers 18/21, Monash University, Department of Econometrics and Business Statistics.
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013.
"Nonparametric Predictive Regression,"
CEPR Discussion Papers
9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Kim, Chang Sik & Kim, In-Moo, 2008. "Nonlinear regression for unit root models with autoregressive errors," Economics Letters, Elsevier, vol. 100(3), pages 326-329, September.
- Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
- Federico Bandi & Peter C. B. Phillips, 2000. "Accelerated Asymptotics for Diffusion Model Estimation," Econometric Society World Congress 2000 Contributed Papers 1656, Econometric Society.
- Li, Dao & He, Changli, 2012. "Testing for Linear Cointegration Against Smooth-Transition Cointegration," Working Papers 2012:6, Örebro University, School of Business.
- doğru, bülent, 2013. "Dynamic Analysis of Money Demand Function: Case of Turkey," MPRA Paper 48402, University Library of Munich, Germany.
- Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
- Peng, Zhen & Dong, Chaohua, 2022. "Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors," Finance Research Letters, Elsevier, vol. 47(PB).
- Lin, Yingqian & Tu, Yundong & Yao, Qiwei, 2020. "Estimation for double-nonlinear cointegration," LSE Research Online Documents on Economics 103830, London School of Economics and Political Science, LSE Library.
- Qiying Wang & Peter C.B. Phillips, 2006.
"Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression,"
Cowles Foundation Discussion Papers
1594, Cowles Foundation for Research in Economics, Yale University.
- Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
- Yoon, Gawon, 2005. "Long-memory property of nonlinear transformations of break processes," Economics Letters, Elsevier, vol. 87(3), pages 373-377, June.
- Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
- Rickard Sandberg, 2017. "Sample Moments and Weak Convergence to Multivariate Stochastic Power Integrals," Journal of Time Series Analysis, Wiley Blackwell, vol. 38(6), pages 1000-1009, November.
- Ayman Mnasri & Zouhair Mrabet & Mouyad Alsamara, 2023. "A new quadratic asymmetric error correction model: does size matter?," Empirical Economics, Springer, vol. 65(1), pages 33-64, July.
- Kim, Chang Sik & Kim, In-Moo, 2012. "Partial parametric estimation for nonstationary nonlinear regressions," Journal of Econometrics, Elsevier, vol. 167(2), pages 448-457.
- Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002.
"Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model,"
Working Papers
2002-46, Center for Research in Economics and Statistics.
- Bec, Frederique & Guay, Alain & Guerre, Emmanuel, 2008. "Adaptive consistent unit-root tests based on autoregressive threshold model," Journal of Econometrics, Elsevier, vol. 142(1), pages 94-133, January.
- Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
- de Jong, Robert M., 2003. "Logarithmic spurious regressions," Economics Letters, Elsevier, vol. 81(1), pages 13-21, October.
- Konstantin Tyurin, 2007. "Midwest Econometric Group annual meeting (in Russian)," Quantile, Quantile, issue 2, pages 99-106, March.
- Stypka, Oliver & Wagner, Martin & Grabarczyk, Peter & Kawka, Rafael, 2017. "The Asymptotic Validity of "Standard" Fully Modified OLS Estimation and Inference in Cointegrating Polynomial Regressions," Economics Series 333, Institute for Advanced Studies.
- Chen, Jia & Li, Degui & Zhang, Lixin, 2010. "Robust estimation in a nonlinear cointegration model," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 706-717, March.
- Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001.
"Nonlinear econometric models with cointegrated and deterministically trending regressors,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
- Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
- Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Breaks in Cointegrated Panels," Center for Policy Research Working Papers 135, Center for Policy Research, Maxwell School, Syracuse University.
- Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
- Cai, Zongwu, 2003. "Trending Time-Varying Coefficient Models With Serially Correlated Errors," SFB 373 Discussion Papers 2003,7, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Nakashima, Kiyotaka, 2008. "An Extremely Low Interest Rate Policy and the Shape of the Japanese Money Demand Function: A Nonlinear Cointegration Approach," MPRA Paper 70689, University Library of Munich, Germany.
- Romero-Avila, Diego, 2008. "Questioning the empirical basis of the environmental Kuznets curve for CO2: New evidence from a panel stationarity test robust to multiple breaks and cross-dependence," Ecological Economics, Elsevier, vol. 64(3), pages 559-574, January.
- Qiying Wang & Peter C. B. Phillips & Ying Wang, 2023. "New asymptotics applied to functional coefficient regression and climate sensitivity analysis," Cowles Foundation Discussion Papers 2365, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon, 2003. "Weak Unit Roots," Working Papers 2003-17, Rice University, Department of Economics.
- Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Peter C.B. Phillips, 2003.
"Laws and Limits of Econometrics,"
Cowles Foundation Discussion Papers
1397, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
- Georg Muller-Furstenberger & Martin Wagner & Benito Muller, 2005. "Exploring the Carbon Kuznets Hypothesis," Others 0506009, University Library of Munich, Germany.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Zhishui Hu & Ioannis Kasparis & Qiying Wang, 2020. "Locally trimmed least squares: conventional inference in possibly nonstationary models," Papers 2006.12595, arXiv.org.
- Ling Hu & Peter C.B. Phillips, 2002.
"Nonstationary Discrete Choice,"
Cowles Foundation Discussion Papers
1364, Cowles Foundation for Research in Economics, Yale University.
- Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
- Delatte, Anne-Laure & Holz, Carsten, 2013. "Understanding Money Demand in the Transition from a Centrally Planned to a Market Economy," CEPR Discussion Papers 9721, C.E.P.R. Discussion Papers.
- Aparicio, Felipe M. & Escribano, Álvaro & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Grabowski, Wojciech & Welfe, Aleksander, 2020. "The Tobit cointegrated vector autoregressive model: An application to the currency market," Economic Modelling, Elsevier, vol. 89(C), pages 88-100.
- Mototsugu Shintani & Tomoyoshi Yabu & Daisuke Nagakura, 2008. "Spurious Regressions in Technical Trading: Momentum or Contrarian?," IMES Discussion Paper Series 08-E-09, Institute for Monetary and Economic Studies, Bank of Japan.
- Berenguer Rico, Vanessa & Gonzalo, Jesús, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
- Riddel, Mary C., 2000. "Finite Sample Properties Of Nonstationary Binary Response Models: A Monte Carlo And Response Surface Analysis," 2000 Annual meeting, July 30-August 2, Tampa, FL 21821, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Chang, Yoosoon & Song, Wonho, 2005. "Unit Root Tests for Panels in the Presence of Short-run and Long-run Dependencies: Nonlinear IV Approach with Fixed N and Large T," Working Papers 2002-06, Rice University, Department of Economics.
- Huang, Jian & Kobayashi, Masahito & McAleer, Michael, 2012. "Testing for the Box–Cox parameter for an integrated process," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 1-9.
- Davidson, James & Terasvirta, Timo, 2002. "Long memory and nonlinear time series," Journal of Econometrics, Elsevier, vol. 110(2), pages 105-112, October.
- Chaohua Dong & Jiti Gao & Bin Peng & Yundong Tu, 2021. "Multiple-index Nonstationary Time Series Models: Robust Estimation Theory and Practice," Papers 2111.02023, arXiv.org.
- Peter C. B. Phillips, 2015. "Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression†," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 521-555.
- Chaohua Dong & Jiti Gao, 2012. "Specification Testing Driven by Orthogonal Series in Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 20/12, Monash University, Department of Econometrics and Business Statistics.
- Shintani, Mototsugu & Yabu, Tomoyoshi & Nagakura, Daisuke, 2012. "Spurious regressions in technical trading," Journal of Econometrics, Elsevier, vol. 169(2), pages 301-309.
- Yoosoon Chang & Wonho Song, 2002. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-2, International Conferences on Panel Data.
- Dong, Chaohua & Linton, Oliver & Peng, Bin, 2021. "A weighted sieve estimator for nonparametric time series models with nonstationary variables," Journal of Econometrics, Elsevier, vol. 222(2), pages 909-932.
- Tu, Yundong & Liang, Han-Ying & Wang, Qiying, 2022. "Nonparametric inference for quantile cointegrations with stationary covariates," Journal of Econometrics, Elsevier, vol. 230(2), pages 453-482.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression," Cowles Foundation Discussion Papers 1911, Cowles Foundation for Research in Economics, Yale University.
- Ioannis Kasparis, 2008. "Functional Form Misspecification in Regressions with a Unit Root," University of Cyprus Working Papers in Economics 2-2008, University of Cyprus Department of Economics.
- Chaohua Dong & Jiti Gao & Dag Tjostheim, 2014. "Estimation for Single-index and Partially Linear Single-index Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 7/14, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Joon Y. Park, 1998.
"Nonstationary Density Estimation and Kernel Autoregression,"
Cowles Foundation Discussion Papers
1181, Cowles Foundation for Research in Economics, Yale University.
Cited by:
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xu, Ke-Li, 2010. "Reweighted Functional Estimation Of Diffusion Models," Econometric Theory, Cambridge University Press, vol. 26(2), pages 541-563, April.
- Oliver Linton & Qiying Wang, 2013.
"Non-parametric transformation regression with non-stationary data,"
CeMMAP working papers
CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Wang, Qiying, 2016. "Nonparametric Transformation Regression With Nonstationary Data," Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
- Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
- Kristensen, Dennis, 2004.
"A semiparametric single-factor model of the term structure,"
LSE Research Online Documents on Economics
24741, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
- Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Degui Li & Dag Tjøstheim, 2011.
"Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series,"
Monash Econometrics and Business Statistics Working Papers
13/11, Monash University, Department of Econometrics and Business Statistics.
- Jiti Gao & Shin Kanaya & Degui Li & Dag Tjøstheim, 2013. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," CREATES Research Papers 2013-29, Department of Economics and Business Economics, Aarhus University.
- Jiti Gao & Degui Li & Dag Tjostheim, 2009. "Uniform Consistency for Nonparametric Estimators in Null Recurrent Time Series," School of Economics and Public Policy Working Papers 2009-26, University of Adelaide, School of Economics and Public Policy.
- Gao, Jiti & Kanaya, Shin & Li, Degui & Tjøstheim, Dag, 2015. "Uniform Consistency For Nonparametric Estimators In Null Recurrent Time Series," Econometric Theory, Cambridge University Press, vol. 31(5), pages 911-952, October.
- Park, Joon Y. & Whang, Yoon-Jae, 2012. "Random walk or chaos: A formal test on the Lyapunov exponent," Journal of Econometrics, Elsevier, vol. 169(1), pages 61-74.
- Seung Hyun Hong & Peter C. B. Phillips, 2005.
"Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity,"
Cowles Foundation Discussion Papers
1541, Cowles Foundation for Research in Economics, Yale University.
- Hong, Seung Hyun & Phillips, Peter C. B., 2010. "Testing Linearity in Cointegrating Relations With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 96-114.
- Hong, Seok Young & Linton, Oliver, 2020.
"Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff,"
Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
- Hong, S-Y. & Linton, O., 2018. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Cambridge Working Papers in Economics 1877, Faculty of Economics, University of Cambridge.
- Ted Juhl & Zhijie Xiao, 2000. "N-Consistent Semiparametric Regression: Partially Linear Models with Unit Roots," Econometric Society World Congress 2000 Contributed Papers 1532, Econometric Society.
- Joon Y. Park & Peter C.B. Phillips, 1998.
"Nonlinear Regressions with Integrated Time Series,"
Cowles Foundation Discussion Papers
1190, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
- Peter C. B. Phillips, 2005.
"Econometric Analysis of Fisher's Equation,"
American Journal of Economics and Sociology, Wiley Blackwell, vol. 64(1), pages 125-168, January.
- Peter C.B. Phillips, 1998. "Econometric Analysis of Fisher's Equation," Cowles Foundation Discussion Papers 1180, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. Phillips & Joon Y. Park, 1999.
"Nonstationary Binary Choice,"
Cowles Foundation Discussion Papers
1223, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
- Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin, 2016.
"Specification Testing for Nonlinear Multivariate Cointegrating Regressions,"
Monash Econometrics and Business Statistics Working Papers
14/16, Monash University, Department of Econometrics and Business Statistics.
- Dong, Chaohua & Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2017. "Specification testing for nonlinear multivariate cointegrating regressions," Journal of Econometrics, Elsevier, vol. 200(1), pages 104-117.
- Chaohua Dong & Jiti Gao & Dag Tjostheim & Jiying Yin, 2014. "Specification Testing for Nonlinear Multivariate Cointegrating Regressions," Monash Econometrics and Business Statistics Working Papers 8/14, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Sainan Jin & Ling Hu, 2005.
"Nonstationary Discrete Choice: A Corrigendum and Addendum,"
Cowles Foundation Discussion Papers
1516, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Jin, Sainan & Hu, Ling, 2007. "Nonstationary discrete choice: A corrigendum and addendum," Journal of Econometrics, Elsevier, vol. 141(2), pages 1115-1130, December.
- Linton, Oliver B. & Mammen, Enno, 2008.
"Nonparametric transformation to white noise,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 241-264, January.
- Oliver Linton & Enno Mammen, 2006. "Nonparametric Transformation to White Noise," STICERD - Econometrics Paper Series 503, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Linton, Oliver & Mammen, Enno, 2006. "Nonparametric transformation to white noise," LSE Research Online Documents on Economics 4426, London School of Economics and Political Science, LSE Library.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2014.
"Specification Testing in Nonstationary Time Series Models,"
Discussion Papers
14/19, Department of Economics, University of York.
- Jia Chen & Jiti Gao & Degui Li & Zhengyan Lin, 2015. "Specification testing in nonstationary time series models," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 117-136, February.
- Gourieroux, Christian & Jasiak, Joann, 2019.
"Robust analysis of the martingale hypothesis,"
Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
- Christian Gouriéroux & Joann Jasiak, 2016. "Robust Analysis of the Martingale Hypothesis," Working Papers 2016-18, Center for Research in Economics and Statistics.
- Li, Degui & Phillips, Peter C. B. & Gao, Jiti, 2016.
"Uniform Consistency Of Nonstationary Kernel-Weighted Sample Covariances For Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 32(3), pages 655-685, June.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Cowles Foundation Discussion Papers 1929, Cowles Foundation for Research in Economics, Yale University.
- Degui Li & Peter C. B. Phillips & Jiti Gao, 2013. "Uniform Consistency of Nonstationary Kernel-Weighted Sample Covariances for Nonparametric Regression," Monash Econometrics and Business Statistics Working Papers 27/13, Monash University, Department of Econometrics and Business Statistics.
- Chaohua Dong & Jiti Gao, 2013. "Orthogonal Expansion of Levy Process Functionals: Theory and Practice," Monash Econometrics and Business Statistics Working Papers 3/13, Monash University, Department of Econometrics and Business Statistics.
- Andrew Jeffrey & Linton, Oliver Linton & Thong Nguyen & Peter C.B. Phillips, 2001. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Cowles Foundation Discussion Papers 1311, Cowles Foundation for Research in Economics, Yale University.
- Yoosoon Chang & Yongok Choi & Chang Sik Kim & Joon Y. Park & J. Isaac Miller, 2013.
"Disentangling Temporal Patterns in Elasticities: A Functional Coefficient Panel Analysis of Electricity Demand,"
Working Papers
1320, Department of Economics, University of Missouri.
- Chang, Yoosoon & Choi, Yongok & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y., 2016. "Disentangling temporal patterns in elasticities: A functional coefficient panel analysis of electricity demand," Energy Economics, Elsevier, vol. 60(C), pages 232-243.
- Peter C.B. Phillips, 1999.
"Descriptive Econometrics for Nonstationary Time Series with Empirical Illustrations,"
Cowles Foundation Discussion Papers
1219, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2001. "Descriptive econometrics for non-stationary time series with empirical illustrations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 389-413.
- Oliver Linton & Mototsugu Shintani, 2001.
"Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors,"
FMG Discussion Papers
dp383, Financial Markets Group.
- Mototsugu Shintani & Oliver Linton, 2003. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(1), pages 331-357, February.
- Mototsugu Shintani & Oliver Linton, 2001. "Is There Chaos in the World Economy? A Nonparametric Test Using Consistent Standard Errors," Vanderbilt University Department of Economics Working Papers 0111, Vanderbilt University Department of Economics.
- Qiying Wang & Peter C. B. Phillips, 2022. "A General Limit Theory for Nonlinear Functionals of Nonstationary Time Series," Cowles Foundation Discussion Papers 2337, Cowles Foundation for Research in Economics, Yale University.
- Kyungsik Nam & Sungro Lee & Hocheol Jeon, 2020. "Nonlinearity between CO 2 Emission and Economic Development: Evidence from a Functional Coefficient Panel Approach," Sustainability, MDPI, vol. 12(24), pages 1-10, December.
- Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
- Phillips, Peter C.B., 2009.
"Local Limit Theory And Spurious Nonparametric Regression,"
Econometric Theory, Cambridge University Press, vol. 25(6), pages 1466-1497, December.
- Peter C.B. Phillips, 2008. "Local Limit Theory and Spurious Nonparametric Regression," Cowles Foundation Discussion Papers 1654, Cowles Foundation for Research in Economics, Yale University.
- Guerre, 2004.
"Design-Adaptive Pointwise Nonparametric Regression Estimation For Recurrent Markov Time Series,"
Econometrics
0411007, University Library of Munich, Germany.
- Emmanuel Guerre, 2004. "Design-Adaptive Pointwise Nonparametric Regression Estimation for Recurrent Markov Time Series," Working Papers 2004-22, Center for Research in Economics and Statistics.
- Dennis Kristensen, 2004.
"Estimation in Two Classes of Semiparametric Diffusion Models,"
FMG Discussion Papers
dp500, Financial Markets Group.
- Kristensen, Dennis, 2004. "Estimation in two classes of semiparametric diffusion models," LSE Research Online Documents on Economics 24739, London School of Economics and Political Science, LSE Library.
- Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
- Steven P. Clark & T. Daniel Coggin, 2018. "A study of fractionally integrated time series using descriptive methods," Applied Economics, Taylor & Francis Journals, vol. 50(2), pages 172-186, January.
- Linton, Oliver & Sancetta, Alessio, 2009. "Consistent estimation of a general nonparametric regression function in time series," Journal of Econometrics, Elsevier, vol. 152(1), pages 70-78, September.
- Chaohua Dong & Jiti Gao, 2011. "Expansion of Brownian Motion Functionals and Its Application in Econometric Estimation," Monash Econometrics and Business Statistics Working Papers 19/11, Monash University, Department of Econometrics and Business Statistics.
- Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
- Federico Bandi & Peter C. B. Phillips, 2000. "Accelerated Asymptotics for Diffusion Model Estimation," Econometric Society World Congress 2000 Contributed Papers 1656, Econometric Society.
- Jiti Gao & Dag Tjøstheim & Jiying Yin, 2011.
"Estimation in threshold autoregressive models with a stationary and a unit root regime,"
Monash Econometrics and Business Statistics Working Papers
21/11, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti & Tjøstheim, Dag & Yin, Jiying, 2013. "Estimation in threshold autoregressive models with a stationary and a unit root regime," Journal of Econometrics, Elsevier, vol. 172(1), pages 1-13.
- Qiying Wang & Peter C.B. Phillips, 2006.
"Asymptotic Theory for Local Time Density Estimation and Nonparametric Cointegrating Regression,"
Cowles Foundation Discussion Papers
1594, Cowles Foundation for Research in Economics, Yale University.
- Wang, Qiying & Phillips, Peter C.B., 2009. "Asymptotic Theory For Local Time Density Estimation And Nonparametric Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 25(3), pages 710-738, June.
- Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Qiying Wang & Peter C. B. Phillips, 2009. "Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications," Cowles Foundation Discussion Papers 1687, Cowles Foundation for Research in Economics, Yale University.
- Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
- Chaohua Dong & Jiti Gao, 2012. "Expansion of Lévy Process Functionals and Its Application in Statistical Estimation," Monash Econometrics and Business Statistics Working Papers 2/12, Monash University, Department of Econometrics and Business Statistics.
- Lu, Zudi & Linton, Oliver, 2007. "Local Linear Fitting Under Near Epoch Dependence," Econometric Theory, Cambridge University Press, vol. 23(1), pages 37-70, February.
- Zongwu Cai & Qi Li, 2013. "Some Recent Develop- ments on Nonparametric Econometrics," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Oliver Linton & Qiying Wang, 2013. "Non-parametric transformation regression with non-stationary data," CeMMAP working papers 16/13, Institute for Fiscal Studies.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Ling Hu & Peter C.B. Phillips, 2002.
"Nonstationary Discrete Choice,"
Cowles Foundation Discussion Papers
1364, Cowles Foundation for Research in Economics, Yale University.
- Hu, Ling & Phillips, Peter C. B., 2004. "Nonstationary discrete choice," Journal of Econometrics, Elsevier, vol. 120(1), pages 103-138, May.
- Yongok Choi, 2020. "Impact of Longevity Risks on the Korean Government: Proposing a New Mortality Forecasting Model," Korean Economic Review, Korean Economic Association, vol. 36, pages 201-225.
- C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
- Joon Y. Park & Peter C.B. Phillips, 1998.
"Nonlinear Regressions with Integrated Time Series,"
Cowles Foundation Discussion Papers
1190, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
Cited by:
- Dong, Chaohua & Linton, Oliver, 2018.
"Additive nonparametric models with time variable and both stationary and nonstationary regressors,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
- Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Herwartz, Helmut & Reimers, Hans-Eggert, 2006. "Modelling the Fisher hypothesis: World wide evidence," Economics Working Papers 2006-04, Christian-Albrechts-University of Kiel, Department of Economics.
- M.C. Medeiros & E. Mendes & Les Oxley, 2010.
"A Note on Nonlinear Cointegration, Misspecification and Bimodality,"
Working Papers in Economics
10/01, University of Canterbury, Department of Economics and Finance.
- Marcelo C. Medeiros & Eduardo Mendes & Les Oxley, 2014. "A Note on Nonlinear Cointegration, Misspecification, and Bimodality," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 713-731, October.
- Park, Joon, 2003. "Strong Approximations for Nonlinear Transformations of Integrated Time Series," Working Papers 2003-18, Rice University, Department of Economics.
- George Kapetanios & Yongcheol Shin, 2002. "GLS Detrending for Nonlinear Unit Root Tests," Working Papers 472, Queen Mary University of London, School of Economics and Finance.
- Kim, Chang Sik & Lee, Sungro, 2011. "Spurious regressions driven by excessive volatility," Economics Letters, Elsevier, vol. 113(3), pages 292-297.
- Yicong Lin & Hanno Reuvers, 2019. "Efficient Estimation by Fully Modified GLS with an Application to the Environmental Kuznets Curve," Papers 1908.02552, arXiv.org, revised Aug 2020.
- Oliver Linton & Qiying Wang, 2013.
"Non-parametric transformation regression with non-stationary data,"
CeMMAP working papers
CWP16/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Linton, Oliver & Wang, Qiying, 2016. "Nonparametric Transformation Regression With Nonstationary Data," Econometric Theory, Cambridge University Press, vol. 32(1), pages 1-29, February.
- Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017.
"A New Class of Bivariate Threshold Cointegration Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
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"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
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"Estimating smooth structural change in cointegration models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
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- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Li, Shaoran & Linton, Oliver, 2021.
"When will the Covid-19 pandemic peak?,"
Journal of Econometrics, Elsevier, vol. 220(1), pages 130-157.
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"No-linealidades en la demanda de efectivo en Colombia: las redes neuronales como herramienta de pronóstico,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 22(45), pages 10-57, June.
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"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
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"Testing Linearity in Cointegrating Relations with an Application to Purchasing Power Parity,"
Cowles Foundation Discussion Papers
1541, Cowles Foundation for Research in Economics, Yale University.
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"Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency,"
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"Explaining money demand in China during the transition from a centrally planned to a market-based monetary system,"
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"Nonlinearity, nonstationarity, and spurious forecasts,"
Journal of Econometrics, Elsevier, vol. 142(1), pages 1-27, January.
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"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
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"Globalisation, Economic Growth and Energy Consumption in the BRICS Region: The Importance of Asymmetries,"
MPRA Paper
86979, University Library of Munich, Germany, revised 16 May 2018.
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"Regression asymptotics using martingale convergence methods,"
Scholarly Articles
2624459, Harvard University Department of Economics.
- Ibragimov, Rustam & Phillips, Peter C.B., 2008. "Regression Asymptotics Using Martingale Convergence Methods," Econometric Theory, Cambridge University Press, vol. 24(4), pages 888-947, August.
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"Specification Testing for Nonlinear Multivariate Cointegrating Regressions,"
Monash Econometrics and Business Statistics Working Papers
14/16, Monash University, Department of Econometrics and Business Statistics.
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"Testing for Linearity in Regressions with I(1) Processes,"
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"Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
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"Nonstationary Discrete Choice: A Corrigendum and Addendum,"
Cowles Foundation Discussion Papers
1516, Cowles Foundation for Research in Economics, Yale University.
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"Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model,"
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- Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
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"Estimation And Inference For Varying-Coefficient Models With Nonstationary Regressors Using Penalized Splines,"
Econometric Theory, Cambridge University Press, vol. 31(4), pages 753-777, August.
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"Specification Testing in Nonstationary Time Series Models,"
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"Sovereign bond yield spreads: A time-varying coefficient approach,"
Journal of International Money and Finance, Elsevier, vol. 31(3), pages 639-656.
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"Cointegrating Polynomial Regressions with Power Law Trends: Environmental Kuznets Curve or Omitted Time Effects?,"
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"Weak Convergence to Stochastic Integrals for Econometric Applications,"
Cowles Foundation Discussion Papers
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"Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap,"
LSE Research Online Documents on Economics
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"Global Temperatures and Greenhouse Gases: A Common Features Approach,"
Monash Econometrics and Business Statistics Working Papers
23/19, Monash University, Department of Econometrics and Business Statistics.
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"Bayesian analysis of structural credit risk models with microstructure noises,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2259-2272, November.
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"Nonlinear Cointegrating Power Function Regression With Endogeneity,"
Econometric Theory, Cambridge University Press, vol. 37(6), pages 1173-1213, December.
- Zhishui Hu & Peter C.B. Phillips & Qiying Wang, 2019. "Nonlinear Cointegrating Power Function Regression with Endogeneity," Cowles Foundation Discussion Papers 2211, Cowles Foundation for Research in Economics, Yale University.
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"The Carbon Kuznets Curve. A Cloudy Picture Emitted by Bad Econometrics?,"
Economics Series
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- Wagner, Martin, 2008. "The carbon Kuznets curve: A cloudy picture emitted by bad econometrics?," Resource and Energy Economics, Elsevier, vol. 30(3), pages 388-408, August.
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- Seo Byeongseon, 2011. "Nonparametric Testing for Linearity in Cointegrated Error-Correction Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(2), pages 1-28, March.
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"Nonlinear Instrumental Variable Estimation of an Autoregression,"
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"Endogenous growth and entropy,"
Journal of Economic Behavior & Organization, Elsevier, vol. 154(C), pages 100-120.
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"Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models,"
Monash Econometrics and Business Statistics Working Papers
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"A Nonlinear IV Likelihood-Based Rank Test for Multivariate Time Series and Long Panels,"
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- Sokbae Lee & Myung Hwan Seo & Youngki Shin, 2017.
"Correction,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(518), pages 883-883, April.
- Hwan Seo, Myung, 2011. "Estimation Of Nonlinear Error Correction Models," Econometric Theory, Cambridge University Press, vol. 27(2), pages 201-234, April.
- Seo, Myung Hwan, 2007. "Estimation of nonlinear error correction models," LSE Research Online Documents on Economics 6802, London School of Economics and Political Science, LSE Library.
- Myung Hwan Seo, 2007. "Estimation of Nonlinear Error CorrectionModels," STICERD - Econometrics Paper Series 517, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Youngki Shin, 2009. "Length-bias Correction in Transformation Models with Supplementary Data," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 658-681.
- Seo, Myunghwan, 2006. "Bootstrap testing for the null of no cointegration in a threshold vector error correction model," Journal of Econometrics, Elsevier, vol. 134(1), pages 129-150, September.
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"Testing the Martingale Hypothesis,"
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1912, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Sainan Jin, 2014. "Testing the Martingale Hypothesis," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 537-554, October.
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
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"Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October.
- Frédéric Bec & Mélika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Post-Print hal-04176298, HAL.
- Gu, Jingping & Liang, Zhongwen, 2014. "Testing cointegration relationship in a semiparametric varying coefficient model," Journal of Econometrics, Elsevier, vol. 178(P1), pages 57-70.
- Federico M. Bandi & Peter C.B. Phillips, 2005.
"A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions,"
Cowles Foundation Discussion Papers
1522, Cowles Foundation for Research in Economics, Yale University.
- Bandi, Federico M. & Phillips, Peter C.B., 2007. "A simple approach to the parametric estimation of potentially nonstationary diffusions," Journal of Econometrics, Elsevier, vol. 137(2), pages 354-395, April.
- Müller-Fürstenberger, Georg & Wagner, Martin, 2006.
"Exploring the Environmental Kuznets Hypothesis. Theoretical and Econometric Problems,"
Economics Series
183, Institute for Advanced Studies.
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- Jean-Philippe Gervais, 2011.
"Disentangling nonlinearities in the long- and short-run price relationships: an application to the US hog/pork supply chain,"
Applied Economics, Taylor & Francis Journals, vol. 43(12), pages 1497-1510.
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"The transactions demand for money in the presence of currency substitution: evidence from Vietnam,"
Applied Economics, Taylor & Francis Journals, vol. 36(13), pages 1461-1470.
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"A Bootstrap Theory for Weakly Integrated Processes,"
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"Time-varying cointegration and the Kalman filter,"
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- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite-sample theory and bias correction of maximum likelihood estimators in the EGARCH model," LIDAM Reprints CORE 2983, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Antonis Demos & Dimitra Kyriakopoulou, 2018. "Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model," DEOS Working Papers 1802, Athens University of Economics and Business.
- Helen Popper, 1995. "Term premia comovement in German, Japanese, and U.S. domestic markets," Open Economies Review, Springer, vol. 6(1), pages 49-62, January.
- Paul Rilstone, 2021. "Higher-Order Stochastic Expansions and Approximate Moments for Non-linear Models with Heterogeneous Observations," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 99-120, December.
- Viktor Burlaka & Oleksii Serdiuk & Jun Sung Hong & Lisa A. O’Donnell & Serhii Maksymenko & Vitalii Panok & Heorhii Danylenko & Igor Linskiy & Valerii Sokurenko & Iuliia Churakova & Nadiya Ilchyshyn, 2022. "Child Internalizing Problems in Ukraine: The Role of Prosocial and Antisocial Friends and Generalized Self-Efficacy," Societies, MDPI, vol. 12(5), pages 1-10, October.
- Poonacha K. Medappa & Shirish C. Srivastava, 2019. "Does Superposition Influence the Success of FLOSS Projects? An Examination of Open-Source Software Development by Organizations and Individuals," Information Systems Research, INFORMS, vol. 30(3), pages 764-786, September.
- Peter C.B. Phillips, 2003.
"Vision and Influence in Econometrics: John Denis Sargan,"
Cowles Foundation Discussion Papers
1393, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B., 2003. "Vision And Influence In Econometrics: John Denis Sargan," Econometric Theory, Cambridge University Press, vol. 19(3), pages 495-511, June.
- Lung-fei Lee & Jihai Yu, 2012. "The C(α)-type gradient test for spatial dependence in spatial autoregressive models," Letters in Spatial and Resource Sciences, Springer, vol. 5(3), pages 119-135, October.
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- Linton, O. & Tang, H., 2020. "Estimation of the Kronecker Covariance Model by Quadratic Form," Cambridge Working Papers in Economics 2050, Faculty of Economics, University of Cambridge.
- Peter C.B. Phillips, 1988.
"Reflections on Econometric Methodology,"
Cowles Foundation Discussion Papers
893, Cowles Foundation for Research in Economics, Yale University.
- P.C.B. Phillips, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
- Naorayex K Dastoor, 2008. "A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis," Economics Bulletin, AccessEcon, vol. 3(62), pages 1-10.
- Gu, Jing & Zhang, Fujuan & Xu, Xun & Xue, Chaokai, 2023. "Stay or switch? The impact of venture capitalists' movement across network communities on enterprises’ innovation performance," Technovation, Elsevier, vol. 125(C).
- Lu, Zeng-Hua & King, Maxwell L., 2004. "A Wald-type test of quadratic parametric restrictions," Economics Letters, Elsevier, vol. 83(3), pages 359-364, June.
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- Marc Aerts & Gerda Claeskens, 1999. "Bootstrapping Pseudolikelihood Models for Clustered Binary Data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 515-530, September.
- Gubhinder Kundhi & Paul Rilstone, 2020. "Simplified Matrix Methods for Multivariate Edgeworth Expansions," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(2), pages 293-326, June.
- Giovanni Andrea Cornia & Stefano Rosignoli & Luca Tiberti, 2011. "The Impact of the Food and Financial Crises on Child Mortality: The case of sub-Saharan Africa," Papers inwopa633, Innocenti Working Papers.
- Arvanitis Stelios & Demos Antonis, 2014. "Valid Locally Uniform Edgeworth Expansions for a Class of Weakly Dependent Processes or Sequences of Smooth Transformations," Journal of Time Series Econometrics, De Gruyter, vol. 6(2), pages 1-53, July.
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- Mehmet Caner, 2011. "A Pretest to Differentiate Between Weak and Nearly-Weak Instrument Asymptotics," International Econometric Review (IER), Econometric Research Association, vol. 3(2), pages 13-21, September.
- Stanislav Kolenikov & Kenneth A. Bollen, 2012. "Testing Negative Error Variances," Sociological Methods & Research, , vol. 41(1), pages 124-167, February.
- Peter C.B. Phillips & Joon Y. Park, 1986.
"Statistical Inference in Regressions with Integrated Processes: Part 2,"
Cowles Foundation Discussion Papers
819R, Cowles Foundation for Research in Economics, Yale University, revised Feb 1987.
- Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(1), pages 95-131, April.
Cited by:
- Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1997.
"Structural analysis of vector error correction models with exogenous I(1) variables (first version),"
Edinburgh School of Economics Discussion Paper Series
7, Edinburgh School of Economics, University of Edinburgh.
- Pesaran, M. H. & Shin, Y. & Smith, R. J., 1997. "Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables," Cambridge Working Papers in Economics 9706, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
- Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1999. "Structural analysis of vector error correction models with exogenous I(1) variables," Edinburgh School of Economics Discussion Paper Series 38, Edinburgh School of Economics, University of Edinburgh.
- Beare, Brendan K. & Seo, Won-Ki, 2020.
"Representation Of I(1) And I(2) Autoregressive Hilbertian Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
- Brendan K. Beare & Won-Ki Seo, 2017. "Representation of I(1) and I(2) autoregressive Hilbertian processes," Papers 1701.08149, arXiv.org, revised Sep 2019.
- Michael T. K. Horvath & Mark W. Watson, 1994. "Testing for Cointegration When Some of the Contributing Vectors are Known," NBER Technical Working Papers 0171, National Bureau of Economic Research, Inc.
- Bardsen, G., 1990.
"Dynamic Modelling and the Demand for Narrow Money in Norway,"
Papers
07-90, Norwegian School of Economics and Business Administration-.
- Bardsen, Gunnar, 1990. "Dynamic Modelling And The Demand For Narrow Money In Norway," Economic Research Papers 268479, University of Warwick - Department of Economics.
- Bardsen, G., 1990. "Dynamic Modelling And The Demand For Narrow Money In Norway," The Warwick Economics Research Paper Series (TWERPS) 359, University of Warwick, Department of Economics.
- Entorf, Horst, 1997.
"Random walks with drifts: Nonsense regression and spurious fixed-effect estimation,"
Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
- Entorf, Horst, 1997. "Random walks with drifts : nonsense regressions and spurious fixed-effect estimation," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 24662, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003.
"Short Run and Long Run Causality in Time Series : Inference,"
Cahiers de recherche
14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
- Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques.
- Westerlund, Joakim, 2005. "Panel Cointegration Tests of the Fisher Hypothesis," Working Papers 2005:10, Lund University, Department of Economics.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Gencay, Ramazan & Fan, Yanqin, 2007.
"Unit Root Tests with Wavelets,"
MPRA Paper
9832, University Library of Munich, Germany.
- Fan, Yanqin & Gençay, Ramazan, 2010. "Unit Root Tests With Wavelets," Econometric Theory, Cambridge University Press, vol. 26(5), pages 1305-1331, October.
- Jean-Marie Dufour & Tarek Jouini, 2005.
"Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing,"
CIRANO Working Papers
2005s-26, CIRANO.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 2005-12, Universite de Montreal, Departement de sciences economiques.
- James Davidson, 2013. "Cointegration and error correction," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 7, pages 165-188, Edward Elgar Publishing.
- Campbell, John & Perron, Pierre, 1991.
"Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots,"
Scholarly Articles
3374863, Harvard University Department of Economics.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," NBER Chapters, in: NBER Macroeconomics Annual 1991, Volume 6, pages 141-220, National Bureau of Economic Research, Inc.
- John Y. Campbell & Pierre Perron, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots," NBER Technical Working Papers 0100, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
- Zeynel Abidin Ozdemir, 2010. "Dynamics Of Inflation, Output Growth And Their Uncertainty In The Uk: An Empirical Analysis," Manchester School, University of Manchester, vol. 78(6), pages 511-537, December.
- Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017.
"Estimating smooth structural change in cointegration models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers 1910, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- John C. Chao & Peter C.B. Phillips, 1997.
"Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure,"
Cowles Foundation Discussion Papers
1155, Cowles Foundation for Research in Economics, Yale University.
- Chao, John C. & Phillips, Peter C. B., 1999. "Model selection in partially nonstationary vector autoregressive processes with reduced rank structure," Journal of Econometrics, Elsevier, vol. 91(2), pages 227-271, August.
- Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013.
"Temporal Causality between House Prices and Output in the U. S.: A Bootstrap Rolling-Window Approach,"
Working Papers
201329, University of Pretoria, Department of Economics.
- Nyakabawo, Wendy & Miller, Stephen M. & Balcilar, Mehmet & Das, Sonali & Gupta, Rangan, 2015. "Temporal causality between house prices and output in the US: A bootstrap rolling-window approach," The North American Journal of Economics and Finance, Elsevier, vol. 33(C), pages 55-73.
- Wendy Nyakabawo & Stephen M. Miller & Mehmet Balcilar & Sonali Das & Rangan Gupta, 2013. "Temporal Causality between House Prices and Output in the U.S.: A Bootstrap Rolling-Window Approach," Working papers 2013-14, University of Connecticut, Department of Economics.
- Dolado, Juan José & Mármol, Francesc, 1998. "FM-OLS estimation of cointegrating relationships among nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 4672, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peter C.B. Phillips, 2017.
"Econometric Measurement of Earth's Transient Climate Sensitivity,"
Cowles Foundation Discussion Papers
2094, Cowles Foundation for Research in Economics, Yale University.
- Thomas Leirvik & Peter C.B. Phillips & Trude Storelvmo, 2017. "Econometric Measurement of Earth's Transient Climate Sensitivity," Cowles Foundation Discussion Papers 2083, Cowles Foundation for Research in Economics, Yale University.
- Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995. "Multivariate unit root tests," Working Papers CEB 95-001.RS, ULB -- Universite Libre de Bruxelles.
- Nikolay Gospodinov & Ian Irvine, 2005.
"A ‘long march’ perspective on tobacco use in Canada,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 38(2), pages 366-393, May.
- Nikolay Gospodinov & Ian Irvine, 2005. "A `long march' perspective on tobacco use in Canada," Canadian Journal of Economics, Canadian Economics Association, vol. 38(2), pages 366-393, May.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2011.
"A Simple Test for Spurious Regressions,"
CREATES Research Papers
2011-15, Department of Economics and Business Economics, Aarhus University.
- Noriega Antonio E. & Ventosa-Santaulària Daniel, 2011. "A Simple Test for Spurious Regressions," Working Papers 2011-05, Banco de México.
- Lin, Yingqian & Tu, Yundong, 2020. "Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root," Journal of Econometrics, Elsevier, vol. 219(1), pages 52-65.
- Wagner, Martin, 2023.
"Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions,"
IHS Working Paper Series
44, Institute for Advanced Studies.
- Wagner, Martin, 2023. "Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions," Economics Letters, Elsevier, vol. 228(C).
- Shin, Dong Wan & Oh, Man-Suk, 2004. "Fully modified semiparametric GLS estimation for regressions with nonstationary seasonal regressors," Journal of Econometrics, Elsevier, vol. 122(2), pages 247-280, October.
- Peter C.B. Phillips & Joon Y. Park, 1999.
"Nonstationary Binary Choice,"
Cowles Foundation Discussion Papers
1223, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 2000. "Nonstationary Binary Choice," Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
- Bashiri Behmiri, Niaz & Pires Manso, José R., 2012. "Does Portuguese economy support crude oil conservation hypothesis?," Energy Policy, Elsevier, vol. 45(C), pages 628-634.
- David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
- de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013.
"Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
- Luiz de Mello & Diego Moccero & Matteo Mogliani, 2009. "Do Latin American Central Bankers Behave Non-Linearly?: The Experiences of Brazil, Chile, Colombia and Mexico," OECD Economics Department Working Papers 679, OECD Publishing.
- Ewa M. Syczewska, "undated".
"Stability of Long-Run Relationships for Countries in Transition: A Hansen Test Study,"
Ace Project Memoranda
96/4, Department of Economics, University of Leicester.
- Ewa Syczewska, 2011. "Stability of Long-run Relationships for Countries in Transition: A Hansen Test Study," Working Papers 58, Department of Applied Econometrics, Warsaw School of Economics.
- Boswijk, H. Peter & Franses, Philip Hans & Haldrup, Niels, 1997. "Multiple unit roots in periodic autoregression," Journal of Econometrics, Elsevier, vol. 80(1), pages 167-193, September.
- Caporale, Guglielmo Maria & Pittis, Nikitas, 2004. "Robustness of the CUSUM and CUSUM-of-Squares Tests to Serial Correlation, Endogeneity and Lack of Structural Invariance. Some Monte Carlo Evidence," Economics Series 157, Institute for Advanced Studies.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, "undated". "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Astill, Sam & Taylor, A.M. Robert & Kellard, Neil & Korkos, Ioannis, 2023. "Using covariates to improve the efficacy of univariate bubble detection methods," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 342-366.
- Peter C.B. Phillips & Werner Ploberger, 1992.
"Posterior Odds Testing for a Unit Root with Data-Based Model Selection,"
Cowles Foundation Discussion Papers
1017, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
- Noriega Antonio E. & Ventosa-Santaulària Daniel, 2006.
"Spurious Regression and Econometric Trends,"
Working Papers
2006-05, Banco de México.
- Antonio E. Noriega & School of Economics, University of Guanajuato & Daniel Ventosa-Santaulà ria & School of Economics, University of Guanajuato, 2006. "Spurious regression and econometric trends," Computing in Economics and Finance 2006 151, Society for Computational Economics.
- Lawford, Steve & Stamatogiannis, Michalis P., 2009.
"The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators,"
Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
- Steve Lawford & Michalis P. Stamatogiannis, 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Post-Print hal-00563603, HAL.
- Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper series 13_08, Rimini Centre for Economic Analysis.
- Liu, Xiaming & Wang, Chengang & Wei, Yingqi, 2001. "Causal links between foreign direct investment and trade in China," China Economic Review, Elsevier, vol. 12(2-3), pages 190-202.
- Carlos Vieira, 2004. "The Deficit?Interest Rate Connection: an empirical assessment of the EU," Economics Working Papers 5_2004, University of Évora, Department of Economics (Portugal).
- Haldrup, Niels Prof. & Lildholdt, Peter, 2000.
"On the Robustness of Unit Root Tests in the Presence of Double Unit Roots,"
University of California at San Diego, Economics Working Paper Series
qt2k0780sh, Department of Economics, UC San Diego.
- Niels Haldrup & Peter Lildholdt, "undated". "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, Department of Economics and Business Economics, Aarhus University.
- Niels Haldrup & Peter Lildholdt, 2002. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 155-171, March.
- Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Peter C.B. Phillips, 1987.
"Conditional and Unconditional Statistical Independence,"
Cowles Foundation Discussion Papers
824R, Cowles Foundation for Research in Economics, Yale University, revised Dec 1987.
- Phillips, Peter C. B., 1988. "Conditional and unconditional statistical independence," Journal of Econometrics, Elsevier, vol. 38(3), pages 341-348, July.
- Emirmahmutoglu, Furkan & Kose, Nezir, 2011. "Testing for Granger causality in heterogeneous mixed panels," Economic Modelling, Elsevier, vol. 28(3), pages 870-876, May.
- Hanying Liang & Peter C.B. Phillips & Hanchao Wang & Qiying Wang, 2014.
"Weak Convergence to Stochastic Integrals for Econometric Applications,"
Cowles Foundation Discussion Papers
1971, Cowles Foundation for Research in Economics, Yale University.
- Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
- Hurlin, Christophe & Minea, Alexandru, 2013.
"Is public capital really productive? A methodological reappraisal,"
European Journal of Operational Research, Elsevier, vol. 228(1), pages 122-130.
- Alexandru Minea & Christophe Hurlin, 2013. "Is public capital really productive? A methodological reappraisal," Post-Print halshs-00804179, HAL.
- Christophe Hurlin & Alexandru Minea, 2012. "Is Public Capital Really Productive? A Methodological Reappraisal," Working Papers halshs-00773200, HAL.
- Westerlund, Joakim, 2014. "On the choice of test for a unit root when the errors are conditionally heteroskedastic," Computational Statistics & Data Analysis, Elsevier, vol. 69(C), pages 40-53.
- Jesus Vazquez, 2002. "Does the Lucas critique apply during hyperinflation?: empirical evidence from four hyperinflationary episodes," Applied Economics, Taylor & Francis Journals, vol. 34(11), pages 1389-1397.
- James D. Hamilton, 2017. "Why You Should Never Use the Hodrick-Prescott Filter," NBER Working Papers 23429, National Bureau of Economic Research, Inc.
- Peter C.B. Phillips & Tassos Magdalinos, 2011.
"Inconsistent VAR Regression with Common Explosive Roots,"
Cowles Foundation Discussion Papers
1777, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2013. "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
- In Choi & Peter C.B. Phillips, 1997. "Regressions for Partially Identified, Cointegrated Simultaneous Equations," Cowles Foundation Discussion Papers 1162, Cowles Foundation for Research in Economics, Yale University.
- Goodness C. Aye & Mehmet Balcilar Author-Name-First Mehmet & Adel Bosch & Rangan Gupta, 2014.
"Housing and the Business Cycle in South Africa,"
Working Papers
15-22, Eastern Mediterranean University, Department of Economics.
- Goodness C. Aye & Mehmet Balcilar & Adel Bosch & Rangan Gupta, 2013. "Housing and the Business Cycle in South Africa," Working Papers 201323, University of Pretoria, Department of Economics.
- Aye, Goodness C. & Balcilar, Mehmet & Bosch, Adél & Gupta, Rangan, 2014. "Housing and the business cycle in South Africa," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 471-491.
- Okuyan Hasan Aydın, 2022. "The Nexus of Financial Development and Economic Growth Across Developing Economies," South East European Journal of Economics and Business, Sciendo, vol. 17(1), pages 125-140, June.
- Theodoros Zachariadis, 2006. "On the exploration of casual relationship between energy and economy," University of Cyprus Working Papers in Economics 5-2006, University of Cyprus Department of Economics.
- Michael Harrison & Eric Strobl & Patrick Walsh, 1998. "The Impact of Social Security Reforms on Female Unemployment Compensation Claimants in Ireland," European Journal of Law and Economics, Springer, vol. 6(3), pages 263-284, November.
- Jianlin Wang & Jiajia Zhao & Hongzhou Li, 2018. "The Electricity Consumption and Economic Growth Nexus in China: A Bootstrap Seemingly Unrelated Regression Estimator Approach," Computational Economics, Springer;Society for Computational Economics, vol. 52(4), pages 1195-1211, December.
- Zachariadis, Theodoros, 2007. "Exploring the relationship between energy use and economic growth with bivariate models: New evidence from G-7 countries," Energy Economics, Elsevier, vol. 29(6), pages 1233-1253, November.
- H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 21-38.
- Stephen Wilcox & John Geppert, 2007. "An error-correction model for forecasting changes in foreign currency futures spreads," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 31(1), pages 122-142, March.
- Dolado, Juan José & Mármol, Francesc, 1999.
"Asymptotic inference for monstationary fractionally integrated processes,"
DES - Working Papers. Statistics and Econometrics. WS
6350, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
- Giovanni Urga & Lorenzo Trapani, 2004.
"Cointegration Versus Spurious Regression In Heterogeneous Panels,"
Royal Economic Society Annual Conference 2004
74, Royal Economic Society.
- Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
- Fantazzini, Dean, 2020.
"Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries,"
MPRA Paper
102315, University Library of Munich, Germany.
- Fantazzini, Dean, 2020. "Short-term forecasting of the COVID-19 pandemic using Google Trends data: Evidence from 158 countries," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 59, pages 33-54.
- Peter C.B. Phillips, 1989.
"Time Series Regression with a Unit Root and Infinite Variance Errors,"
Cowles Foundation Discussion Papers
897R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(1), pages 44-62, March.
- Felmingham, B. & Zhang, Q., 2000. "The Long Run Demand for Broad Money in Australia Subject to Regime Shifts," Papers 2000-07, Tasmania - Department of Economics.
- Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019.
"HAR Testing for Spurious Regression in Trend,"
Econometrics, MDPI, vol. 7(4), pages 1-28, December.
- Peter C.B. Phillips & Yonghui Zhang & Xiaohu Wang, 2018. "HAR Testing for Spurious Regression in Trend," Cowles Foundation Discussion Papers 2153, Cowles Foundation for Research in Economics, Yale University.
- Martin Larch, 1994. "Die Analyse externer Bestimmungsfaktoren der regionalen Wirtschaftsentwicklung im Rahmen eines VARModells," Wirtschaft und Gesellschaft - WuG, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik, vol. 20(4), pages 539-557.
- Noriega, Antonio E. & Ventosa-Santaulària, Daniel, 2007.
"Spurious Regression and Trending Variables,"
MPRA Paper
58775, University Library of Munich, Germany.
- Antonio E. Noriega & Daniel Ventosa‐Santaulària, 2007. "Spurious Regression and Trending Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(3), pages 439-444, June.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2006. "Spurious Regression and Trending Variables," Department of Economics and Finance Working Papers EM200701, Universidad de Guanajuato, Department of Economics and Finance, revised Jan 2007.
- Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
- Peter C.B. Phillips & Werner Ploberger, 1999.
"Empirical Limits for Time Series Econometric Models,"
Cowles Foundation Discussion Papers
1220, Cowles Foundation for Research in Economics, Yale University.
- Werner Ploberger & Peter C. B. Phillips, 2003. "Empirical Limits for Time Series Econometric Models," Econometrica, Econometric Society, vol. 71(2), pages 627-673, March.
- Kuo, Biing-Shen, 1998. "Test for partial parameter instability in regressions with I(1) processes," Journal of Econometrics, Elsevier, vol. 86(2), pages 337-368, June.
- Helmut Luetkepohl, 2011.
"Vector Autoregressive Models,"
Economics Working Papers
ECO2011/30, European University Institute.
- Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
- Phillips, Peter C.B., 1995.
"Robust Nonstationary Regression,"
Econometric Theory, Cambridge University Press, vol. 11(5), pages 912-951, October.
- Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation for Research in Economics, Yale University.
- Blangiewicz, Maria & Charemza, Wojciech W., 1999. "East European Economic Reform: Some Simulations on a Structural Vector Autoregressive Model," Journal of Policy Modeling, Elsevier, vol. 21(5), pages 535-557, September.
- Hyungsik Roger Moon & Peter C. B. Phillips, 2004.
"GMM Estimation of Autoregressive Roots Near Unity with Panel Data,"
Econometrica, Econometric Society, vol. 72(2), pages 467-522, March.
- Hyungsik Roger Moon, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometric Society World Congress 2000 Contributed Papers 0913, Econometric Society.
- Hyungsik Roger Moon & Peter C.B. Phillips, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1274, Cowles Foundation for Research in Economics, Yale University.
- Hyungsik Roger Moon & Peter C.B. Phillips, 2003. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1390, Cowles Foundation for Research in Economics, Yale University.
- Marcus Chambers, 1996. "Speed of adjustment and estimation of the partial adjustment model," Applied Economics Letters, Taylor & Francis Journals, vol. 3(1), pages 21-23.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003.
"Dynamic Seemingly Unrelated Cointegrating Regression,"
NBER Technical Working Papers
0292, National Bureau of Economic Research, Inc.
- Masao Ogaki & Nelson Mark & Donggyu Sul, 2004. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 04-02, Ohio State University, Department of Economics.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2005. "Dynamic Seemingly Unrelated Cointegrating Regressions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 797-820.
- Mark, Nelson & Ogaki, Masao & Sul, Donggyu, 2003. "Dynamic Seemingly Unrelated Cointegrating Regression," Working Papers 144, Department of Economics, The University of Auckland.
- Graham Elliott & James H. Stock, 1992.
"Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown,"
NBER Technical Working Papers
0122, National Bureau of Economic Research, Inc.
- Elliott, Graham & Stock, James H., 1994. "Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 672-700, August.
- Shu-Chen Chang, 2005. "The dynamic interactions among foreign direct investment, economic growth, exports and unemployment: evidence from Taiwan," Economic Change and Restructuring, Springer, vol. 38(3), pages 235-256, December.
- Palm, F.C. & Smeekes, S. & Urbain, J.R.Y.J., 2007.
"A sieve bootstrap test for cointegration in a conditional error correction model,"
Research Memorandum
054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Arnold Zellner & Franz C. Palm, 2000. "Correction," Econometrica, Econometric Society, vol. 68(5), pages 1293-1294, September.
- Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(3), pages 647-681, June.
- Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996.
"Cointegration tests in the presence of structural breaks,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
- Julia Campos & Neil R. Ericsson & David F. Hendry, 1993. "Cointegration tests in the presence of structural breaks," International Finance Discussion Papers 440, Board of Governors of the Federal Reserve System (U.S.).
- Didier Nibbering & Richard Paap & Michel van der Wel, 2015.
"What Do Professional Forecasters Actually Predict?,"
Tinbergen Institute Discussion Papers
15-095/III, Tinbergen Institute, revised 13 Oct 2017.
- Nibbering, Didier & Paap, Richard & van der Wel, Michel, 2018. "What do professional forecasters actually predict?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 288-311.
- Ghazi Shukur & Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(8), pages 1021-1031.
- Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
- Brenner, Robin J. & Kroner, Kenneth F., 1995. "Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 23-42, March.
- Di Iorio, Francesca & Triacca, Umberto, 2013. "Testing for Granger non-causality using the autoregressive metric," Economic Modelling, Elsevier, vol. 33(C), pages 120-125.
- Martin Wagner, 2010.
"Cointegration analysis with state space models,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(3), pages 273-305, September.
- Wagner, Martin, 2010. "Cointegration Analysis with State Space Models," Economics Series 248, Institute for Advanced Studies.
- Degui Li & Peter C.B. Phillips & Jiti Gao, 2017.
"Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression,"
Cowles Foundation Discussion Papers
2109, Cowles Foundation for Research in Economics, Yale University.
- Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020. "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
- Heather Anderson & Jiti Gao & Farshid Vahid & Wei Wei & Yang Yang, 2023. "Does Climate Sensitivity Differ Across Regions?," Monash Econometrics and Business Statistics Working Papers 7/23, Monash University, Department of Econometrics and Business Statistics.
- Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014.
"X-Differencing And Dynamic Panel Model Estimation,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
- Atsushi Inoue & Lutz Kilian, 2019.
"The Uniform Validity of Impulse Response Inference in Autoregressions,"
Working Papers
1908, Federal Reserve Bank of Dallas.
- Inoue, Atsushi & Kilian, Lutz, 2020. "The uniform validity of impulse response inference in autoregressions," Journal of Econometrics, Elsevier, vol. 215(2), pages 450-472.
- Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
- Atsushi Inoue & Lutz Kilian, 2019. "The uniform validity of impulse response inference in autoregressions," Vanderbilt University Department of Economics Working Papers 19-00001, Vanderbilt University Department of Economics.
- Singh, Tarlok, 2008. "Testing the Saving-Investment correlations in India: An evidence from single-equation and system estimators," Economic Modelling, Elsevier, vol. 25(5), pages 1064-1079, September.
- Neeraj, & Panigrahi, Prasanta K., 2017. "Causality and correlations between BSE and NYSE indexes: A Janus faced relationship," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 481(C), pages 284-313.
- Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006.
"Bootstrapping cointegrating regressions,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
- Chang, Yoosoon & Park, Joon & Song, Kevin, 2002. "Bootstrapping Cointegrating Regressions," Working Papers 2002-04, Rice University, Department of Economics.
- Kunpeng Li & Degui Li & Zhongwen Liang & Cheng Hsiao, 2017. "Estimation of semi-varying coefficient models with nonstationary regressors," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 354-369, March.
- Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2020. "Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model," Economic Modelling, Elsevier, vol. 90(C), pages 494-500.
- Conrad, C. & Karanasos, M., 2005. "On the inflation-uncertainty hypothesis in the USA, Japan and the UK: a dual long memory approach," Japan and the World Economy, Elsevier, vol. 17(3), pages 327-343, August.
- Biing-Shen Kuo & Su-Ling Peng, 2011. "Price Pass-Through, Household Expenditure, and Industrial Structure: The Case of Taiwan," NBER Chapters, in: Commodity Prices and Markets, pages 237-255, National Bureau of Economic Research, Inc.
- Muyambiri, Brian & Chiwira, Oscar & Enowbi Batuo, Michael & Chiranga, Ngonidzashe, 2010. "The Causal Relationship between Private and Public Investment in Zimbabwe," MPRA Paper 26671, University Library of Munich, Germany.
- Hualde, Javier, 2014. "Estimation of long-run parameters in unbalanced cointegration," Journal of Econometrics, Elsevier, vol. 178(2), pages 761-778.
- Gomez, Nicolas & Guerrero, Victor M., 2006. "Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions and forecasts," International Journal of Forecasting, Elsevier, vol. 22(4), pages 751-770.
- Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
- Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
- Peter C.B. Phillips, 1987.
"Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations,"
Cowles Foundation Discussion Papers
846, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(3), pages 528-533, December.
- BENSALMA, Ahmed, 2021. "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper 107408, University Library of Munich, Germany.
- Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
- P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
- Javier Fernandez-Macho, 2013. "A wavelet approach to multiple cointegration testing," Economics Series Working Papers 668, University of Oxford, Department of Economics.
- Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
- Guillaume Guex & Sébastien Guex, 2018. "Debt, economic growth, and interest rates: an empirical study of the Swiss case, presenting a new long-term dataset: 1894–2014," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 154(1), pages 1-13, December.
- Mármol, Francesc & Escribano, Álvaro & Aparicio, Felipe M., 1999. "A new instrumental variable approach for estimation and testing in fractional cointegrating regressions," DES - Working Papers. Statistics and Econometrics. WS 6298, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Peng, Zhen & Dong, Chaohua, 2022. "Augmented cointegrating linear models with possibly strongly correlated stationary and nonstationary regressors," Finance Research Letters, Elsevier, vol. 47(PB).
- Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation for Research in Economics, Yale University.
- Chris Stewart, 2011. "A note on spurious significance in regressions involving I(0) and I(1) variables," Empirical Economics, Springer, vol. 41(3), pages 565-571, December.
- Peter C.B. Phillips, 1990.
"To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends,"
Cowles Foundation Discussion Papers
950, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-364, Oct.-Dec..
- Peter Phillips & Hyungsik Moon, 2000.
"Nonstationary panel data analysis: an overview of some recent developments,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation for Research in Economics, Yale University.
- Greasley, David & Oxley, Les, 2000. "British Industrialization, 1815-1860: A Disaggregate Time-Series Perspective," Explorations in Economic History, Elsevier, vol. 37(1), pages 98-119, January.
- Woon Gyu Choi & Mr. Yungsan Kim, 2001. "Monetary Policy and Corporate Liquid Asset Demand," IMF Working Papers 2001/177, International Monetary Fund.
- Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
- Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.
- Bauer, Dietmar & Maynard, Alex, 2012. "Persistence-robust surplus-lag Granger causality testing," Journal of Econometrics, Elsevier, vol. 169(2), pages 293-300.
- Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
- Joakim Westerlund, 2013. "A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 477-495, July.
- Clinton Watkins & Michael McAleer, 2003.
"Pricing of Non-ferrous Metals Futures on the London Metal Exchange,"
CIRJE F-Series
CIRJE-F-213, CIRJE, Faculty of Economics, University of Tokyo.
- Olivier Habimana, 2019. "Wavelet Multiresolution Analysis of the Liquidity Effect and Monetary Neutrality," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 85-110, January.
- Robert Marti, 1995. "Spécification des préférences implicites en matière de politique économique française, 1981-1991," Économie et Prévision, Programme National Persée, vol. 119(3), pages 1-11.
- Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2020.
"Dynamic Panel Modeling of Climate Change,"
Econometrics, MDPI, vol. 8(3), pages 1-28, July.
- Peter C.B. Phillips, 2018. "Dynamic Panel Modeling of Climate Change," Cowles Foundation Discussion Papers 2150, Cowles Foundation for Research in Economics, Yale University.
- Kenneth D. West, 1993. "Inventory Models," NBER Technical Working Papers 0143, National Bureau of Economic Research, Inc.
- Peter C. B. Phillips & Hyungsik R. Moon, 1999.
"Linear Regression Limit Theory for Nonstationary Panel Data,"
Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C. B., 1998.
"Impulse response and forecast error variance asymptotics in nonstationary VARs,"
Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
- Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
- Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
- Li, Jia & Hanrahan, Kevin F. & McErlean, Seamus, 2004. "The Efficiency Of The Futures Market For Agricultural Commodities In The Uk," 2004 Annual meeting, August 1-4, Denver, CO 20203, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001.
"Nonlinear econometric models with cointegrated and deterministically trending regressors,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
- Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
- Davide Pettenuzzo & Halbert White, 2010.
"Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis,"
Working Papers
36, Brandeis University, Department of Economics and International Business School.
- White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
- Balcombe, K. G. & Davis, J. R., 1996.
"An application of cointegration theory in the estimation of the almost ideal demand system for food consumption in Bulgaria,"
Agricultural Economics, Blackwell, vol. 15(1), pages 47-60, September.
- K.G. Balcombe & J.R. Davis, 1996. "An application of cointegration theory in the estimation of the Almost Ideal Demand system for food consumption in Bulgaria," Agricultural Economics, International Association of Agricultural Economists, vol. 15(1), pages 47-60, September.
- Alexander Mayer, 2022. "Estimation and inference in adaptive learning models with slowly decreasing gains," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 720-749, September.
- Smith, James, 2008. "That elusive elasticity and the ubiquitous bias: Is panel data a panacea?," Journal of Macroeconomics, Elsevier, vol. 30(2), pages 760-779, June.
- Shu Chen Chang, 2007. "The interactions among foreign direct investment, economic growth, degree of openness and unemployment in Taiwan," Applied Economics, Taylor & Francis Journals, vol. 39(13), pages 1647-1661.
- Sequeira, John M. & McAleer, Michael & Chow, Ying-Foon, 1999. "Estimation of alternative pricing models for currency futures contracts," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 519-530.
- D. Ventosa-Santaulària, 2009.
"Spurious Regression,"
Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.
- Ventosa-Santaulària, Daniel, 2008. "Spurious Regression," MPRA Paper 59008, University Library of Munich, Germany.
- Wagner, Martin & Grabarczyk, Peter & Hong, Seung Hyun, 2020. "Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions," Journal of Econometrics, Elsevier, vol. 214(1), pages 216-255.
- Man-Keun Kim & Kangil Lee, 2015. "Dynamic Interactions between Carbon and Energy Prices in the U.S. Regional Greenhouse Gas Initiative," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 494-501.
- Hanan Naser, 2015. "Can Nuclear Energy Stimulates Economic Growth? Evidence from Highly Industrialised Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 164-173.
- Peter C.B. Phillips, 2003.
"Laws and Limits of Econometrics,"
Cowles Foundation Discussion Papers
1397, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
- , Aisdl, 2019. "Stock Market And Economic Growth In Vietnam," OSF Preprints ucbhp, Center for Open Science.
- Peter C.B. Phillips, 1988.
"Reflections on Econometric Methodology,"
Cowles Foundation Discussion Papers
893, Cowles Foundation for Research in Economics, Yale University.
- P.C.B. Phillips, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
- Jafari, Yaghoob & Othman, Jamal & Nor, Abu Hassan Shaari Mohd, 2012. "Energy consumption, economic growth and environmental pollutants in Indonesia," Journal of Policy Modeling, Elsevier, vol. 34(6), pages 879-889.
- Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation for Research in Economics, Yale University.
- Mai, Nhat Chi, 2019. "Stock Market And Economic Growth In Vietnam," OSF Preprints de8zq, Center for Open Science.
- Quintos, Carmela E., 1998. "Analysis of cointegration vectors using the GMM approach," Journal of Econometrics, Elsevier, vol. 85(1), pages 155-188, July.
- van Giersbergen, Noud P. A., 2003. "A note on bootstrapping unit root tests in the presence of a non-zero drift," Economics Letters, Elsevier, vol. 78(2), pages 259-265, February.
- Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Arslanturk, Yalcin, 2010. "Economic growth and energy consumption causal nexus viewed through a bootstrap rolling window," Energy Economics, Elsevier, vol. 32(6), pages 1398-1410, November.
- Hassler, Uwe, 1996. "Spurious regressions when stationary regressors are included," Economics Letters, Elsevier, vol. 50(1), pages 25-31, January.
- Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015. "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 353-369, November.
- Di Iorio, Francesca & Triacca, Umberto, 2011. "Testing for non-causality by using the Autoregressive Metric," MPRA Paper 29637, University Library of Munich, Germany.
- Phillips, Peter C.B. & Leirvik, Thomas & Storelvmo, Trude, 2020. "Econometric estimates of Earth’s transient climate sensitivity," Journal of Econometrics, Elsevier, vol. 214(1), pages 6-32.
- Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
- Dean Corbae & Sam Ouliaris, 1991. "A Test of Long‐run Purchasing Power Parity Allowing for Structural Breaks," The Economic Record, The Economic Society of Australia, vol. 67(1), pages 26-33, March.
- Ghose, Devajyoti, 1995. "Linear aggregation in cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1011-1032.
- Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2019. "Empirical test of purchasing power parity using a time-varying cointegration model for China and the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 41-47.
- Lei Pan & Vinod Mishra, 2019. "International Portfolio Diversification Possibilities: Could BRICS become a Destination for G7 Invesments," Monash Economics Working Papers 11-18, Monash University, Department of Economics.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression," Cowles Foundation Discussion Papers 1911, Cowles Foundation for Research in Economics, Yale University.
- Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Abidin Ozdemir, Zeynel & Fisunoglu, Mahir, 2008. "On the inflation-uncertainty hypothesis in Jordan, Philippines and Turkey: A long memory approach," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 1-12.
- den Haan, Wouter J., 2000.
"The comovement between output and prices,"
Journal of Monetary Economics, Elsevier, vol. 46(1), pages 3-30, August.
- Tom Doan, "undated". "RATS programs to replicate Den Haan JME(2000) correlation of comovements," Statistical Software Components RTZ00042, Boston College Department of Economics.
- Li, Yikang & Maddala, G. S. & Rush, Mark, 1995. "New small sample estimators for cointegration regression: Low-pass spectral filter method," Economics Letters, Elsevier, vol. 47(2), pages 123-129, February.
- Watkins, Clinton & McAleer, Michael, 2002. "Cointegration analysis of metals futures," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 207-221.
- Peter C.B. Phillips & Joon Y. Park, 1986.
"Statistical Inference in Regressions with Integrated Processes: Part 1,"
Cowles Foundation Discussion Papers
811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
- Park, Joon Y. & Phillips, Peter C.B., 1988. "Statistical Inference in Regressions with Integrated Processes: Part 1," Econometric Theory, Cambridge University Press, vol. 4(3), pages 468-497, December.
Cited by:
- M.C. Medeiros & E. Mendes & Les Oxley, 2010.
"A Note on Nonlinear Cointegration, Misspecification and Bimodality,"
Working Papers in Economics
10/01, University of Canterbury, Department of Economics and Finance.
- Marcelo C. Medeiros & Eduardo Mendes & Les Oxley, 2014. "A Note on Nonlinear Cointegration, Misspecification, and Bimodality," Econometric Reviews, Taylor & Francis Journals, vol. 33(7), pages 713-731, October.
- Beare, Brendan K. & Seo, Won-Ki, 2020.
"Representation Of I(1) And I(2) Autoregressive Hilbertian Processes,"
Econometric Theory, Cambridge University Press, vol. 36(5), pages 773-802, October.
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"Random walks with drifts: Nonsense regression and spurious fixed-effect estimation,"
Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
- Entorf, Horst, 1997. "Random walks with drifts : nonsense regressions and spurious fixed-effect estimation," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 24662, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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"Forward Exchange Market Unbiasedness: The Case of the Australian Dollar Since 1984,"
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- Balcombe, Kelvin, 1996. "The Carlson-Parkin method applied to NZ price expectations using QSBO survey data," Economics Letters, Elsevier, vol. 51(1), pages 51-57, April.
- Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017.
"Estimating smooth structural change in cointegration models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers 1910, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014.
"The univariate MT-STAR model and a new linearity and unit root test procedure,"
Post-Print
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- Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 4-19.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310518, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2014. "The univariate MT-STAR model and a new linearity and unit root test procedure," PSE-Ecole d'économie de Paris (Postprint) hal-01310518, HAL.
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- Peter C.B. Phillips, 2017.
"Econometric Measurement of Earth's Transient Climate Sensitivity,"
Cowles Foundation Discussion Papers
2094, Cowles Foundation for Research in Economics, Yale University.
- Thomas Leirvik & Peter C.B. Phillips & Trude Storelvmo, 2017. "Econometric Measurement of Earth's Transient Climate Sensitivity," Cowles Foundation Discussion Papers 2083, Cowles Foundation for Research in Economics, Yale University.
- Rickard Sandberg, 2015. "M-estimator based unit root tests in the ESTAR framework," Statistical Papers, Springer, vol. 56(4), pages 1115-1135, November.
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"Cointegration Testing in Single Error‐Correction Equations in the Presence of Linear Time Trends,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(5), pages 621-632, December.
- Hassler, Uwe, 1999. "Cointegration Testing in Single Error-Correction Equations in the Presence of Linear Time Trends," DES - Working Papers. Statistics and Econometrics. WS 6371, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Renato Flôres & Pierre-Yves Preumont & Ariane Szafarz, 1995. "Multivariate unit root tests," Working Papers CEB 95-001.RS, ULB -- Universite Libre de Bruxelles.
- Joon Y. Park & Peter C.B. Phillips, 1998.
"Nonlinear Regressions with Integrated Time Series,"
Cowles Foundation Discussion Papers
1190, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y & Phillips, Peter C B, 2001. "Nonlinear Regressions with Integrated Time Series," Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
- Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015.
"Testing linearity using power transforms of regressors,"
Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
- YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "Testing Linearity Using Power Transforms of Regressors," Working papers 2015rwp-79, Yonsei University, Yonsei Economics Research Institute.
- Yae In Baek & Jin Seo Cho & Peter C.B. Phillips, 2013. "Testing Linearity Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 1917, Cowles Foundation for Research in Economics, Yale University.
- Jungjun Choi & In Choi, 2016.
"Maximum Likelihood Estimation of Autoregressive Models with a Near Unit Root and Cauchy Errors,"
Working Papers
1612, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- Jungjun Choi & In Choi, 2019. "Maximum likelihood estimation of autoregressive models with a near unit root and Cauchy errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1121-1142, October.
- Joakim Westerlund, 2007.
"Testing for Error Correction in Panel Data,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(6), pages 709-748, December.
- Westerlund, J., 2006. "Testing for error correction in panel data," Research Memorandum 056, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Westerlund, Joakim, 2005. "Testing for Error Correction in Panel Data," Working Papers 2005:11, Lund University, Department of Economics.
- Kang Hao & Inder, Brett, 1996.
"Diagnostic test for structural change in cointegrated regression models,"
Economics Letters, Elsevier, vol. 50(2), pages 179-187, February.
- Hao, K. & Inder, B., 1994. "A Diagnostic Test for Structural Change in Cointegrated Regression Models," Monash Econometrics and Business Statistics Working Papers 19/94, Monash University, Department of Econometrics and Business Statistics.
- Trapani, Lorenzo & Urga, Giovanni, 2010.
"Micro versus macro cointegration in heterogeneous panels,"
Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
- Lorenzo Trapani & Giovanni Urga, 2007. "Micro versus Macro Cointegration in Heterogeneous Panels," Working Papers 0711, Department of Management, Information and Production Engineering, University of Bergamo.
- Wagner, Martin, 2023.
"Fully Modified Least Squares Estimation and Inference for Systems of Cointegrating Polynomial Regressions,"
IHS Working Paper Series
44, Institute for Advanced Studies.
- Wagner, Martin, 2023. "Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions," Economics Letters, Elsevier, vol. 228(C).
- Cheng, Xu & Phillips, Peter C.B., 2012.
"Cointegrating rank selection in models with time-varying variance,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 155-165.
- Xu Cheng & Peter C. B. Phillips, 2009. "Cointegrating Rank Selection in Models with Time-Varying Variance," Cowles Foundation Discussion Papers 1688, Cowles Foundation for Research in Economics, Yale University.
- E.Panopoulou, 2005.
"A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators,"
Economics Department Working Paper Series
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- Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Money Macro and Finance (MMF) Research Group Conference 2005 18, Money Macro and Finance Research Group.
- Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," The Institute for International Integration Studies Discussion Paper Series iiisdp067, IIIS.
- Yoichi Arai, 2015.
"Testing for Linearity in Regressions with I(1) Processes,"
GRIPS Discussion Papers
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- Yoichi Arai, 2004. "Testing for Linearity in Regressions with I (1) processes," CARF F-Series CARF-F-014, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Yoichi Arai, 2004. "Testing for Linearity in Regressions with I(1) processes," CIRJE F-Series CIRJE-F-303, CIRJE, Faculty of Economics, University of Tokyo.
- Arai, Yoichi, 2016. "Testing For Linearity In Regressions With I(1) Processes," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 57(1), pages 111-138, June.
- Ewa M. Syczewska, "undated".
"Stability of Long-Run Relationships for Countries in Transition: A Hansen Test Study,"
Ace Project Memoranda
96/4, Department of Economics, University of Leicester.
- Ewa Syczewska, 2011. "Stability of Long-run Relationships for Countries in Transition: A Hansen Test Study," Working Papers 58, Department of Applied Econometrics, Warsaw School of Economics.
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"Testing for a unit root in noncausal autoregressive models,"
Bank of Finland Research Discussion Papers
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- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Tom Doan, "undated". "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
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"Posterior Odds Testing for a Unit Root with Data-Based Model Selection,"
Cowles Foundation Discussion Papers
1017, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Ploberger, Werner, 1994. "Posterior Odds Testing for a Unit Root with Data-Based Model Selection," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 774-808, August.
- Pierre Perron & Gabriel RodrÃguez, "undated".
"Residuals-based Tests for Cointegration with GLS Detrended Data,"
Boston University - Department of Economics - Working Papers Series
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"Regression Theory for Near-Integrated Time Series,"
Econometrica, Econometric Society, vol. 56(5), pages 1021-1043, September.
- Peter C.B. Phillips, 1986. "Regression Theory for Near-Integrated Time Series," Cowles Foundation Discussion Papers 781R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1987.
- Lawford, Steve & Stamatogiannis, Michalis P., 2009.
"The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators,"
Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
- Steve Lawford & Michalis P. Stamatogiannis, 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Post-Print hal-00563603, HAL.
- Steve Lawford & Michalis P. Stamatogiannis, 2008. "The Finite-Sample E ects of VAR Dimensions on OLS Bias, OLS Variance, and Minimum MSE Estimators," Working Paper series 13_08, Rimini Centre for Economic Analysis.
- Peter C.B. Phillips & Sam Ouliaris, 1986. "Testing for Cointegration Using Principal Component Measures," Cowles Foundation Discussion Papers 809R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1987.
- Donald W.K. Andrews & Xu Cheng, 2011.
"GMM Estimation and Uniform Subvector Inference with Possible Identification Failure,"
Cowles Foundation Discussion Papers
1828, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews & Xu Cheng, 2011. "GMM Estimation and Uniform Subvector Inference with Possible Identification Failure," Cowles Foundation Discussion Papers 1828, Cowles Foundation for Research in Economics, Yale University, revised Jan 2013.
- Andrews, Donald W.K. & Cheng, Xu, 2014. "Gmm Estimation And Uniform Subvector Inference With Possible Identification Failure," Econometric Theory, Cambridge University Press, vol. 30(2), pages 287-333, April.
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"Asymmetric persistence in GDP? A deeper look at depth,"
Research Working Paper
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- Hess, Gregory D. & Iwata, Shigeru, 1997. "Asymmetric persistence in GDP? A deeper look at depth," Journal of Monetary Economics, Elsevier, vol. 40(3), pages 535-554, December.
- Xiao, Zhijie & Phillips, Peter C. B., 2002.
"A CUSUM test for cointegration using regression residuals,"
Journal of Econometrics, Elsevier, vol. 108(1), pages 43-61, May.
- Zhijie Xiao & Peter C.B. Phillips, 2001. "A CUSUM Test for Cointegration Using Regression Residuals," Cowles Foundation Discussion Papers 1329, Cowles Foundation for Research in Economics, Yale University.
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"On the Power of the KPSS Test of Stationarity Against Fractionally-Integrated Alternatives,"
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"How To Estimate Autoregressive Roots Near Unity,"
Econometric Theory, Cambridge University Press, vol. 17(1), pages 29-69, February.
- Phillips, Peter C.B. & Moon, Hyungsik R., 1999. "How to Estimate Autoregressive Roots Near Unity," University of California at Santa Barbara, Economics Working Paper Series qt87p2z8zx, Department of Economics, UC Santa Barbara.
- Peter C.B. Phillips & Hyungsik R. Moon & Zhijie Xiao, 1998. "How to Estimate Autoregressive Roots Near Unity," Cowles Foundation Discussion Papers 1191, Cowles Foundation for Research in Economics, Yale University.
- Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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"Regime Specific Predictability in Predictive Regressions,"
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- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Hanying Liang & Peter C.B. Phillips & Hanchao Wang & Qiying Wang, 2014.
"Weak Convergence to Stochastic Integrals for Econometric Applications,"
Cowles Foundation Discussion Papers
1971, Cowles Foundation for Research in Economics, Yale University.
- Liang, Hanying & Phillips, Peter C.B. & Wang, Hanchao & Wang, Qiying, 2016. "Weak Convergence To Stochastic Integrals For Econometric Applications," Econometric Theory, Cambridge University Press, vol. 32(6), pages 1349-1375, December.
- Götz, Linde & Djuric, Ivan, 2014.
"Price Damping and Price Insulating Effects of Wheat Export Restrictions in Kazakhstan, Russia, and Ukraine,"
2014 International Congress, August 26-29, 2014, Ljubljana, Slovenia
182954, European Association of Agricultural Economists.
- Gotz, Linde & Djuric, Ivan & Glauben, Thomas, 2014. "Price Damping And Price Insulating Effects Of Wheat Export Restrictions In Kazakhstan, Russia, And Ukraine," 54th Annual Conference, Goettingen, Germany, September 17-19, 2014 187448, German Association of Agricultural Economists (GEWISOLA).
- Götz, L. & Djuric, I. & Glauben, T., 2015. "Price Damping and Price Insulating Effects of Wheat Export Restrictions in Kazakhstan, Russia and Ukraine," Proceedings “Schriften der Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues e.V.”, German Association of Agricultural Economists (GEWISOLA), vol. 50, March.
- Li Chen & Jiti Gao & Farshid Vahid, 2019.
"Global Temperatures and Greenhouse Gases: A Common Features Approach,"
Monash Econometrics and Business Statistics Working Papers
23/19, Monash University, Department of Econometrics and Business Statistics.
- Li Chen & Jiti Gao & Farshid Vahid, 2019. "Global temperatures and greenhouse gases - a common features approach," Working Papers 2019-07-15, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Chen, Li & Gao, Jiti & Vahid, Farshid, 2022. "Global temperatures and greenhouse gases: A common features approach," Journal of Econometrics, Elsevier, vol. 230(2), pages 240-254.
- Peter C.B. Phillips & Tassos Magdalinos, 2011.
"Inconsistent VAR Regression with Common Explosive Roots,"
Cowles Foundation Discussion Papers
1777, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B. & Magdalinos, Tassos, 2013. "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
- Husted, Steven & MacDonald, Ronald, 1998. "Monetary-based models of the exchange rate: a panel perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 1-19, January.
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- José Roberto López, 1993. "Market efficiency, purchasing power parity and cointegration in Central American black foreing exchange markets," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 111-153.
- Winkelried, Diego & Gutiérrez, José, 2012. "Dinámica inflacionaria regional y el esquema de metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 24, pages 79-98.
- Gabriel Rodriguez & Pierre Perron, 2013. "Single-equation tests for Cointegration with GLS Detrended Data," Boston University - Department of Economics - Working Papers Series 2013-016, Boston University - Department of Economics.
- Otto, Glenn & Voss, Graham, 1996. "Public Capital and Private Production in Australia," MPRA Paper 52110, University Library of Munich, Germany.
- Dolado, Juan José & Mármol, Francesc, 1999.
"Asymptotic inference for monstationary fractionally integrated processes,"
DES - Working Papers. Statistics and Econometrics. WS
6350, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francesc Marmol & Juan J. Dolado, 1999. "Asymptotic Inference for Nonstationary Fractionally Integrated Processes," Computing in Economics and Finance 1999 513, Society for Computational Economics.
- Jiti Gao & Peter C.B. Phillips, 2013. "Functional Coefficient Nonstationary Regression with Non- and Semi-Parametric Cointegration," Monash Econometrics and Business Statistics Working Papers 16/13, Monash University, Department of Econometrics and Business Statistics.
- Cho, Sinsup & Park, Young J. & Ahn, Sung K., 1995. "Unit root tests for seasonal models with deterministic trends," Statistics & Probability Letters, Elsevier, vol. 25(1), pages 27-35, October.
- Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo / Working Papers 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
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"Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data,"
Journal of Econometrics, Elsevier, vol. 217(1), pages 140-160.
- Chambers, MJ, 2018. "Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data," Economics Discussion Papers 21144, University of Essex, Department of Economics.
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"A Panel CUSUM Test of the Null of Cointegration,"
Working Papers
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- Joakim Westerlund, 2005. "A Panel CUSUM Test of the Null of Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(2), pages 231-262, April.
- Giovanni Urga & Lorenzo Trapani, 2004.
"Cointegration Versus Spurious Regression In Heterogeneous Panels,"
Royal Economic Society Annual Conference 2004
74, Royal Economic Society.
- Giovanni Urga & Lorenzo Trapani, 2004. "Cointegration versus Spurious Regression in Heterogeneous Panels," Econometric Society 2004 North American Summer Meetings 266, Econometric Society.
- Swarna Dutt & Dipak Ghosh, 1994. "An empirical investigation of the export growth-economic growth relationship," Applied Economics Letters, Taylor & Francis Journals, vol. 1(3), pages 44-48.
- Peter C.B. Phillips, 1989.
"Time Series Regression with a Unit Root and Infinite Variance Errors,"
Cowles Foundation Discussion Papers
897R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Phillips, P.C.B., 1990. "Time Series Regression With a Unit Root and Infinite-Variance Errors," Econometric Theory, Cambridge University Press, vol. 6(1), pages 44-62, March.
- K. Maekawa & J. L. Knight & H. Hisamatsu, 1998. "Finite sample comparisons of the distributions of the ols and gls estimators in regression with an integrated regsorad correlated errors," Econometric Reviews, Taylor & Francis Journals, vol. 17(4), pages 387-413.
- Peter C. B. Phillips & Xiaohu Wang & Yonghui Zhang, 2019.
"HAR Testing for Spurious Regression in Trend,"
Econometrics, MDPI, vol. 7(4), pages 1-28, December.
- Peter C.B. Phillips & Yonghui Zhang & Xiaohu Wang, 2018. "HAR Testing for Spurious Regression in Trend," Cowles Foundation Discussion Papers 2153, Cowles Foundation for Research in Economics, Yale University.
- Swarna Dutt & Dipak Ghosh, 1995. "Purchasing power parity doctrine: weak and strong form tests," Applied Economics Letters, Taylor & Francis Journals, vol. 2(9), pages 316-320.
- Werner Ploberger & Peter C.B. Phillips, 1998. "Rissanen's Theorem and Econometric Time Series," Cowles Foundation Discussion Papers 1197, Cowles Foundation for Research in Economics, Yale University.
- Helmut Luetkepohl, 2011.
"Vector Autoregressive Models,"
Economics Working Papers
ECO2011/30, European University Institute.
- Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
- Phillips, Peter C.B., 1995.
"Robust Nonstationary Regression,"
Econometric Theory, Cambridge University Press, vol. 11(5), pages 912-951, October.
- Peter C.B. Phillips, 1993. "Robust Nonstationary Regression," Cowles Foundation Discussion Papers 1064, Cowles Foundation for Research in Economics, Yale University.
- Utku Utkulu & Durmus Özdemir, 2004.
"Does Trade Liberalization Cause a Long Run Economic Growth in Turkey,"
Economic Change and Restructuring, Springer, vol. 37(3), pages 245-266, September.
- Utku Utkulu & Durmus Özdemir, 2005. "Does Trade Liberalization Cause a Long Run Economic Growth in Turkey," Economic Change and Restructuring, Springer, vol. 37(3), pages 245-266, September.
- UTKULU Utku & OZDEMIR Durmus, 2010. "Does Trade Liberalization Cause a Long Run Economic Growth in Turkey?," EcoMod2003 330700147, EcoMod.
- Zivot, Eric & Andrews, Donald W K, 2002.
"Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 25-44, January.
- Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
- Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-270, July.
- Hyungsik Roger Moon & Peter C. B. Phillips, 2004.
"GMM Estimation of Autoregressive Roots Near Unity with Panel Data,"
Econometrica, Econometric Society, vol. 72(2), pages 467-522, March.
- Hyungsik Roger Moon, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Econometric Society World Congress 2000 Contributed Papers 0913, Econometric Society.
- Hyungsik Roger Moon & Peter C.B. Phillips, 2000. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1274, Cowles Foundation for Research in Economics, Yale University.
- Hyungsik Roger Moon & Peter C.B. Phillips, 2003. "GMM Estimation of Autoregressive Roots Near Unity with Panel Data," Cowles Foundation Discussion Papers 1390, Cowles Foundation for Research in Economics, Yale University.
- Uwe Hassler & Francesc Marmol & C. Velasco, 2000.
"Fractional Cointegrating Regression In The Presence Of Linear Time Trends,"
Computing in Economics and Finance 2000
138, Society for Computational Economics.
- Hassler, Uwe & Marmol, Francesc, 1998. "Fractional cointegrating regressions in the presence of linear time trends," DES - Working Papers. Statistics and Econometrics. WS 9794, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Herwartz, Helmut & Neumann, Michael H., 2005. "Bootstrap inference in systems of single equation error correction models," Journal of Econometrics, Elsevier, vol. 128(1), pages 165-193, September.
- Nelson C. Mark & Masao Ogaki & Donggyu Sul, 2003.
"Dynamic Seemingly Unrelated Cointegrating Regression,"
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"Cointegration tests in the presence of structural breaks,"
Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
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- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011.
"A test for a new modelling: The Univariate MT-STAR Model,"
Documents de travail du Centre d'Economie de la Sorbonne
11083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Post-Print halshs-00659158, HAL.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling : The Univariate MT-STAR Model," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00659158, HAL.
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"Optimal Inference in Cointegrated Systems,"
Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
- Peter C.B. Phillips, 1988. "Optimal Inference in Cointegrated Systems," Cowles Foundation Discussion Papers 866R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1989.
- Winkelried, Diego & Gutierrez, José Enrique, 2012. "Regional inflation dynamics and inflation targeting in Peru," Working Papers 2012-018, Banco Central de Reserva del Perú.
- Nassar S. Al-Nassar & Razzaque H. Bhatti, 2019. "Are common stocks a hedge against inflation in emerging markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 421-455, July.
- Gao, Jiti & Phillips, Peter C.B., 2013. "Semiparametric estimation in triangular system equations with nonstationarity," Journal of Econometrics, Elsevier, vol. 176(1), pages 59-79.
- Mohamed Sahbi Nakhli & Abderrazak Dhaoui & Julien Chevallier, 2022. "Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors," Annals of Finance, Springer, vol. 18(2), pages 267-283, June.
- MArcelo Cunha Medeiros & Eduardo Mendes & Les Oxley, 2010. "Nonlinear Cointegration, Misspecification and Bimodality," Textos para discussão 577, Department of Economics PUC-Rio (Brazil).
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- Wagner, Martin, 2010. "Cointegration Analysis with State Space Models," Economics Series 248, Institute for Advanced Studies.
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- Degui Li & Peter C.B. Phillips & Jiti Gao, 2017.
"Kernel-Based Inference In Time-Varying Coefficient Cointegrating Regression,"
Cowles Foundation Discussion Papers
2109, Cowles Foundation for Research in Economics, Yale University.
- Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020. "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
- Bentivoglio, D. & Bucci, G. & Finco, A., 2018. "Factor affecting the palm oil boom in Indonesia: a time series analysis," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277129, International Association of Agricultural Economists.
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- J. Joseph Beaulieu & Jeffrey A. Miron, 1992.
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NBER Technical Working Papers
0126, National Bureau of Economic Research, Inc.
- Joseph Beaulieu, J. & Miron, Jeffrey A., 1993. "Seasonal unit roots in aggregate U.S. data," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 305-328.
- Han, Chirok & Phillips, Peter C. B. & Sul, Donggyu, 2014.
"X-Differencing And Dynamic Panel Model Estimation,"
Econometric Theory, Cambridge University Press, vol. 30(1), pages 201-251, February.
- Chirok Han & Peter C.B. Phillips & Donggyu Sul, 2010. "X-Differencing and Dynamic Panel Model Estimation," Cowles Foundation Discussion Papers 1747, Cowles Foundation for Research in Economics, Yale University.
- Panicos O. Demetriades & Michael P. Devereux & Kul B. Luintel, 1995.
"Productivity and Financial Sector Policies: Evidence from South East Asia,"
Keele Department of Economics Discussion Papers (1995-2001)
95/14, Department of Economics, Keele University.
- Demetriades, Panicos O. & P. Devereux, Michael & Luintel, Kul B., 1998. "Productivity and financial sector policies: Evidence from South East Asia," Journal of Economic Behavior & Organization, Elsevier, vol. 35(1), pages 61-82, March.
- Ftiti, Zied & Hadhri, Sinda, 2019. "Can economic policy uncertainty, oil prices, and investor sentiment predict Islamic stock returns? A multi-scale perspective," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 40-55.
- Marina Friedrich & Luca Margaritella & Stephan Smeekes, 2023. "High-Dimensional Causality for Climatic Attribution," Papers 2302.03996, arXiv.org.
- Vygantas Paulaauskas & Svetlozar Rachev, 2003. "Maximum likelihood estimators in regression models with infinite variance innovations," Statistical Papers, Springer, vol. 44(1), pages 47-65, January.
- Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006.
"Bootstrapping cointegrating regressions,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
- Chang, Yoosoon & Park, Joon & Song, Kevin, 2002. "Bootstrapping Cointegrating Regressions," Working Papers 2002-04, Rice University, Department of Economics.
- Joakim Westerlund & Johan Blomquist, 2013. "A modified LLC panel unit root test of the PPP hypothesis," Empirical Economics, Springer, vol. 44(2), pages 833-860, April.
- Kunpeng Li & Degui Li & Zhongwen Liang & Cheng Hsiao, 2017. "Estimation of semi-varying coefficient models with nonstationary regressors," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 354-369, March.
- Moon, H.R. & Perron, P., 2000.
"The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity,"
Cahiers de recherche
2000-03, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- MOON, Hyungsik Roger & PERRON, Benoit, 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Universite de Montreal, Departement de sciences economiques.
- Yoon, Jong Cheol & Min, Dai Hong & Jei, Sang Young, 2020. "Purchasing power parity vs. uncovered interest rate parity for NAFTA countries: The value of incorporating time-varying parameter model," Economic Modelling, Elsevier, vol. 90(C), pages 494-500.
- Ekaterini Panopoulou & Nicolaos Kourogenis & Nikitas Pittis, 2006. "Irrelevant but highly persistent instruments in stationary regressions with endogenous variables containing near-to-unit roots," Economics Department Working Paper Series n1620106.pdf, Department of Economics, National University of Ireland - Maynooth.
- H. Youn Kim & Junsoo Lee, 2001. "Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 41-57.
- Biing-Shen Kuo & Su-Ling Peng, 2011. "Price Pass-Through, Household Expenditure, and Industrial Structure: The Case of Taiwan," NBER Chapters, in: Commodity Prices and Markets, pages 237-255, National Bureau of Economic Research, Inc.
- Phillips, Peter C.B. & Wang, Ying, 2022.
"Functional coefficient panel modeling with communal smoothing covariates,"
Journal of Econometrics, Elsevier, vol. 227(2), pages 371-407.
- Peter C.B. Phillips & Ying Wang, 2019. "Functional Coefficient Panel Modeling with Communal Smoothing Covariates," Cowles Foundation Discussion Papers 2193, Cowles Foundation for Research in Economics, Yale University.
- Fakhri J. Hasanov & Lester C. Hunt & Ceyhun I. Mikayilov, 2016. "Modeling and Forecasting Electricity Demand in Azerbaijan Using Cointegration Techniques," Energies, MDPI, vol. 9(12), pages 1-31, December.
- Abdur Chowdhury, 2001. "The Impact of Financial Reform on Private Savings in Bangladesh," WIDER Working Paper Series DP2001-78, World Institute for Development Economic Research (UNU-WIDER).
- Gomez, Nicolas & Guerrero, Victor M., 2006. "Restricted forecasting with VAR models: An analysis of a test for joint compatibility between restrictions and forecasts," International Journal of Forecasting, Elsevier, vol. 22(4), pages 751-770.
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"Efficient Estimation and Inference in Cointegrating Regressions with Structural Change,"
Discussion Papers
2004-09, Graduate School of Economics, Hitotsubashi University.
- Eiji Kurozumi & Yoichi Arai, 2007. "Efficient estimation and inference in cointegrating regressions with structural change," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 545-575, July.
- Christou, Christina & Gupta, Rangan & Nyakabawo, Wendy & Wohar, Mark E., 2018.
"Do house prices hedge inflation in the US? A quantile cointegration approach,"
International Review of Economics & Finance, Elsevier, vol. 54(C), pages 15-26.
- Christina Christou & Rangan Gupta & Wendy Nyakabawo & Mark E. Wohar, 2017. "Do House Prices Hedge Inflation in the US? A Quantile Cointegration Approach," Working Papers 201707, University of Pretoria, Department of Economics.
- Gengenbach, C. & Urbain, J.R.Y.J. & Westerlund, J., 2008. "Panel error correction testing with global stochastic trends," Research Memorandum 051, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Yerima Ngama, 1994. "A re-examination of the forward exchange rate unbiasedness hypothesis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(3), pages 447-460, September.
- Hisamatsu, H. & Knight, J.L. & Maekawa, K., 1995. "The exact distribution of the OLS and GLS estimators in regression with an integrated regressor and correlated errors — comparison of numerical and Monte Carlo integration," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(3), pages 273-277.
- Jan Mutl & Leopold Sögner, 2019.
"Parameter estimation and inference with spatial lags and cointegration,"
Econometric Reviews, Taylor & Francis Journals, vol. 38(6), pages 597-635, July.
- Mutl, Jan & Sögner, Leopold, 2013. "Parameter Estimation and Inference with Spatial Lags and Cointegration," Economics Series 296, Institute for Advanced Studies.
- Peter C.B. Phillips & Igor Kheifets, 2021. "On Multicointegration," Cowles Foundation Discussion Papers 2306, Cowles Foundation for Research in Economics, Yale University.
- Dong Wan Shin & Oesook Lee, 2004. "M‐Estimation for regressions with integrated regressors and arma errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 283-299, March.
- Peter C.B. Phillips, 1987.
"Weak Convergence of Sample Covariance Matrices to Stochastic Integrals via Martingale Approximations,"
Cowles Foundation Discussion Papers
846, Cowles Foundation for Research in Economics, Yale University.
- Phillips, P.C.B., 1988. "Weak Convergence of Sample Covariance Matrices to Stochastic Integrals Via Martingale Approximations," Econometric Theory, Cambridge University Press, vol. 4(3), pages 528-533, December.
- BENSALMA, Ahmed, 2021. "Fractional Dickey-Fuller test with or without prehistorical influence," MPRA Paper 107408, University Library of Munich, Germany.
- Peter C. B. Phillips, 2022. "Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency," Cowles Foundation Discussion Papers 2332, Cowles Foundation for Research in Economics, Yale University.
- Franses, Philip Hans & Kloek, Teun & Lucas, Andre, 1998. "Outlier robust analysis of long-run marketing effects for weekly scanning data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 293-315, November.
- P. W. Fong & W. K. Li, 2004. "Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(3), pages 419-441, May.
- Javier Fernandez-Macho, 2013. "A wavelet approach to multiple cointegration testing," Economics Series Working Papers 668, University of Oxford, Department of Economics.
- Harris, David & McCabe, Brendan & Leybourne, Stephen, 2002. "Stochastic cointegration: estimation and inference," Journal of Econometrics, Elsevier, vol. 111(2), pages 363-384, December.
- Arranz, Miguel A. & Escribano, Álvaro, 1998. "Detrending procedures and cointegration testing: ECM tests under structural breaks," DES - Working Papers. Statistics and Econometrics. WS 4551, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
- Alain Hecq & Luca Margaritella & Stephan Smeekes, 2023. "Inference in Non-stationary High-Dimensional VARs," Papers 2302.01434, arXiv.org, revised Sep 2023.
- Lee, Hyung S. & Amsler, Christine, 1997. "Consistency of the KPSS unit root test against fractionally integrated alternative," Economics Letters, Elsevier, vol. 55(2), pages 151-160, August.
- Mármol, Francesc & Escribano, Álvaro & Aparicio, Felipe M., 1999. "A new instrumental variable approach for estimation and testing in fractional cointegrating regressions," DES - Working Papers. Statistics and Econometrics. WS 6298, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Yan, Beiling & Bernard, Andre & Warren, Paul, 2007. "Industry characteristics and the law of one price," The North American Journal of Economics and Finance, Elsevier, vol. 18(1), pages 93-105, February.
- Hiro Y. Toda & Peter C.B. Phillips, 1991. "The Spurious Effect of Unit Roots on Exogeneity Tests in Vector Autoregressions: An Analytical Study," Cowles Foundation Discussion Papers 978, Cowles Foundation for Research in Economics, Yale University.
- Marc Sáez & Robert M. Kunst, 1995. "ARCH patterns in cointegrated systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra.
- Ashok Parikh, 1994. "Tests of real interest parity in international currency markets," Journal of Economics, Springer, vol. 59(2), pages 167-191, June.
- Peter C. B. Phillips, 2023.
"Discrete Fourier Transforms of Fractional Processes with Econometric Applications,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Theory, volume 45, pages 3-71,
Emerald Group Publishing Limited.
- Peter C.B. Phillips, 2021. "Discrete Fourier Transforms of Fractional Processes with Econometric Applications," Cowles Foundation Discussion Papers 2303, Cowles Foundation for Research in Economics, Yale University.
- Peter Phillips & Hyungsik Moon, 2000.
"Nonstationary panel data analysis: an overview of some recent developments,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(3), pages 263-286.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Nonstationary Panel Data Analysis: An Overview of Some Recent Developments," Cowles Foundation Discussion Papers 1221, Cowles Foundation for Research in Economics, Yale University.
- Jiti Gao & Peter C.B. Phillips, 2011. "Semiparametric Estimation in Multivariate Nonstationary Time Series Models," Monash Econometrics and Business Statistics Working Papers 17/11, Monash University, Department of Econometrics and Business Statistics.
- Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
- Arize, Augustine C. & Malindretos, John & Ghosh, Dilip, 2015. "Purchasing power parity-symmetry and proportionality: Evidence from 116 countries," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 69-85.
- Peter C.B. Phillips & Sam Ouliaris & Joon Y. Park, 1988. "Testing for a Unit Root in the Presence of a Maintained Trend," Cowles Foundation Discussion Papers 880, Cowles Foundation for Research in Economics, Yale University.
- Marmol, Francesc, 1996. "Correlation theory of spuriously related higher order integrated processes," Economics Letters, Elsevier, vol. 50(2), pages 169-173, February.
- Peter C.B. Phillips, 1994. "Nonstationary Time Series and Cointegration: Recent Books and Themes for the Future," Cowles Foundation Discussion Papers 1081, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2020.
"Dynamic Panel Modeling of Climate Change,"
Econometrics, MDPI, vol. 8(3), pages 1-28, July.
- Peter C.B. Phillips, 2018. "Dynamic Panel Modeling of Climate Change," Cowles Foundation Discussion Papers 2150, Cowles Foundation for Research in Economics, Yale University.
- Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529.
- Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
- Peter C. B. Phillips & Hyungsik R. Moon, 1999.
"Linear Regression Limit Theory for Nonstationary Panel Data,"
Econometrica, Econometric Society, vol. 67(5), pages 1057-1112, September.
- Peter C.B. Phillips & Hyungsik R. Moon, 1999. "Linear Regression Limit Theory for Nonstationary Panel Data," Cowles Foundation Discussion Papers 1222, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C. B., 1998.
"Impulse response and forecast error variance asymptotics in nonstationary VARs,"
Journal of Econometrics, Elsevier, vol. 83(1-2), pages 21-56.
- Peter C.B. Phillips, 1995. "Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's," Cowles Foundation Discussion Papers 1102, Cowles Foundation for Research in Economics, Yale University.
- Bewley, Ronald & Fiebig, Denzil G., 1992.
"Estimation of long-run responses in dynamic models with integrated data,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 539-544.
- Bewlwy, R. & Fiebig, D.G., 1991. "Estimation of Long-Run Responses in Dynamic Models with Integrated Data," Papers 91-11, New South Wales - School of Economics.
- Ye Cai & Mototsugu Shintani, 2005. "On the Long-Run Variance Ratio Test for a Unit Root," Vanderbilt University Department of Economics Working Papers 0506, Vanderbilt University Department of Economics.
- Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001.
"Nonlinear econometric models with cointegrated and deterministically trending regressors,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
- Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
- Chang, Yoosoon, 2003. "Nonlinear IV Panel Unit Root Tests," Working Papers 2003-06, Rice University, Department of Economics.
- Tsay, Wen-Jen & Chung, Ching-Fan, 2000. "The spurious regression of fractionally integrated processes," Journal of Econometrics, Elsevier, vol. 96(1), pages 155-182, May.
- Phillips, Peter C B, 1995.
"Fully Modified Least Squares and Vector Autoregression,"
Econometrica, Econometric Society, vol. 63(5), pages 1023-1078, September.
- Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
- Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
- Davide Pettenuzzo & Halbert White, 2010.
"Granger Causality, Exogeneity, Cointegration, and Economic Policy Analysis,"
Working Papers
36, Brandeis University, Department of Economics and International Business School.
- White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
- Balcombe, K. G. & Davis, J. R., 1996.
"An application of cointegration theory in the estimation of the almost ideal demand system for food consumption in Bulgaria,"
Agricultural Economics, Blackwell, vol. 15(1), pages 47-60, September.
- K.G. Balcombe & J.R. Davis, 1996. "An application of cointegration theory in the estimation of the Almost Ideal Demand system for food consumption in Bulgaria," Agricultural Economics, International Association of Agricultural Economists, vol. 15(1), pages 47-60, September.
- Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
- Smith, James, 2008. "That elusive elasticity and the ubiquitous bias: Is panel data a panacea?," Journal of Macroeconomics, Elsevier, vol. 30(2), pages 760-779, June.
- Hiroaki Chigira & Taku Yamamoto, 2006.
"Forcasting in large cointegrated processes,"
Hi-Stat Discussion Paper Series
d06-169, Institute of Economic Research, Hitotsubashi University.
- Hiroaki Chigira & Taku Yamamoto, 2009. "Forecasting in large cointegrated processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 631-650.
- Hasanov, Fakhri J. & Shannak, Sa'd, 2020. "Electricity incentives for agriculture in Saudi Arabia. Is that relevant to remove them?," Energy Policy, Elsevier, vol. 144(C).
- Wagner, Martin & Grabarczyk, Peter & Hong, Seung Hyun, 2020. "Fully modified OLS estimation and inference for seemingly unrelated cointegrating polynomial regressions and the environmental Kuznets curve for carbon dioxide emissions," Journal of Econometrics, Elsevier, vol. 214(1), pages 216-255.
- Peter C.B. Phillips, 2003.
"Laws and Limits of Econometrics,"
Cowles Foundation Discussion Papers
1397, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips, 2003. "Laws and Limits of Econometrics," Economic Journal, Royal Economic Society, vol. 113(486), pages 26-52, March.
- Neto, David, 2012. "Testing and estimating time-varying elasticities of Swiss gasoline demand," Energy Economics, Elsevier, vol. 34(6), pages 1755-1762.
- Lutz Kilian & Xiaoqing Zhou, 2022. "Oil prices, gasoline prices, and inflation expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 867-881, August.
- Valkanov, Rossen, 1999. "The Term Structure with Highly Persistent Interest Rates," University of California at Los Angeles, Anderson Graduate School of Management qt8x91m4hg, Anderson Graduate School of Management, UCLA.
- Peter C.B. Phillips, 1988.
"Reflections on Econometric Methodology,"
Cowles Foundation Discussion Papers
893, Cowles Foundation for Research in Economics, Yale University.
- P.C.B. Phillips, 1988. "Reflections on Econometric Methodology," The Economic Record, The Economic Society of Australia, vol. 64(4), pages 344-359, December.
- Peter C.B. Phillips & Werner Ploberger, 1992. "Time Series Modeling with a Bayesian Frame of Reference: Concepts, Illustrations and Asymptotics," Cowles Foundation Discussion Papers 1038, Cowles Foundation for Research in Economics, Yale University.
- Marcos Sanso & Antonio Montanes, 2002. "Cointegration, error correction mechanism and trade liberalization: the case of the Spanish imports of manufactures," Applied Economics, Taylor & Francis Journals, vol. 34(2), pages 231-240.
- Peter C.B. Phillips & Bruce E. Hansen, 1988. "Estimation and Inference in Models of Cointegration: A Simulation Study," Cowles Foundation Discussion Papers 881, Cowles Foundation for Research in Economics, Yale University.
- Quintos, Carmela E., 1998. "Analysis of cointegration vectors using the GMM approach," Journal of Econometrics, Elsevier, vol. 85(1), pages 155-188, July.
- Kim, In-Moo & Park, Joon Y., 2005. "Iterative Maximum Likelihood Estimation of Cointegrating Vectors," Working Papers 2005-02, Rice University, Department of Economics.
- Raúl Labán, 1991. "La Hipótesis de Cointegración y la Demanda por Dinero en Chile: 1974-1988," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 28(83), pages 169-188.
- Yan, Isabel K. & Kakkar, Vikas, 2010. "The equilibrium real exchange rate of China: a productivity approach," MPRA Paper 35229, University Library of Munich, Germany.
- Li, Hongyi & Xiao, Zhijie, 2000. "On bootstrapping regressions with unit root processes," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 261-267, July.
- Park, Joon Y. & Shin, Kwanho & Whang, Yoon-Jae, 2010. "A semiparametric cointegrating regression: Investigating the effects of age distributions on consumption and saving," Journal of Econometrics, Elsevier, vol. 157(1), pages 165-178, July.
- Berenguer Rico, Vanessa & Gonzalo, Jesús, 2011. "Summability of stochastic processes: a generalization of integration and co-integration valid for non-linear processes," UC3M Working papers. Economics we1115, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Berenguer-Rico, Vanessa & Gonzalo, Jesús, 2014. "Summability of stochastic processes—A generalization of integration for non-linear processes," Journal of Econometrics, Elsevier, vol. 178(P2), pages 331-341.
- Deng Ai, 2020. "Measuring Benchmark Damages in Antitrust Litigation: Extensions and Practical Implications," Journal of Econometric Methods, De Gruyter, vol. 9(1), pages 1-12, January.
- Luya Wang & Zhongwen Liang & Juan Lin & Qi Li, 2015. "Local Constant Kernel Estimation of a Partially Linear Varying Coefficient Cointegration Model," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 353-369, November.
- Phillips, Peter C.B. & Leirvik, Thomas & Storelvmo, Trude, 2020. "Econometric estimates of Earth’s transient climate sensitivity," Journal of Econometrics, Elsevier, vol. 214(1), pages 6-32.
- Panicos O. Demetriades & Bassam Fattouh, 2006. "Excess Credit and the South Korean Crisis," WIDER Working Paper Series RP2006-84, World Institute for Development Economic Research (UNU-WIDER).
- Pantelidis, Theologos & Pittis, Nikitas, 2004. "Testing for Granger causality in variance in the presence of causality in mean," Economics Letters, Elsevier, vol. 85(2), pages 201-207, November.
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Econometric Society World Congress 2000 Contributed Papers
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"Unit root test in a threshold autoregression: asymptotic theory and residual-based block bootstrap,"
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6836, London School of Economics and Political Science, LSE Library.
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Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
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"Bootstrap Unit‐Root Tests: Comparison and Extensions,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 371-401, March.
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Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
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"A Bootstrap Theory for Weakly Integrated Processes,"
Working Papers
2003-16, Rice University, Department of Economics.
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- Palm, F.C. & Smeekes, S. & Urbain, J.R.Y.J., 2007.
"A sieve bootstrap test for cointegration in a conditional error correction model,"
Research Memorandum
054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Arnold Zellner & Franz C. Palm, 2000. "Correction," Econometrica, Econometric Society, vol. 68(5), pages 1293-1294, September.
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Econometric Theory, Cambridge University Press, vol. 25(1), pages 243-269, February.
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"Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices,"
Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 514-547, October.
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"Taking a New Contour: A Novel Approach to Panel Unit Root Tests,"
Econometric Society 2004 Far Eastern Meetings
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Econometric Theory, Cambridge University Press, vol. 24(5), pages 1425-1441, October.
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Econometric Theory, Cambridge University Press, vol. 29(6), pages 1289-1313, December.
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"Bootstrap union tests for unit roots in the presence of nonstationary volatility,"
Discussion Papers
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- Smeekes, Stephan & Taylor, A.M. Robert, 2012. "Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility," Econometric Theory, Cambridge University Press, vol. 28(2), pages 422-456, April.
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Econometric Reviews, Taylor & Francis Journals, vol. 35(1), pages 122-168, January.
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"Bootstrap Unit‐Root Tests: Comparison and Extensions,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 371-401, March.
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"Modified fast double sieve bootstraps for ADF tests,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(12), pages 4490-4499, October.
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- Francisco Estrada & Pierre Perron, "undated". "Detection and attribution of climate change through econometric methods," Boston University - Department of Economics - Working Papers Series 2013-015, Boston University - Department of Economics.
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"Detrending Bootstrap Unit Root Tests,"
Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
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"Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(4), pages 512-536, April.
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"Testing for explosive bubbles in the presence of autocorrelated innovations,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 207-225.
- Thomas Quistgaard Pedersen & Erik Christian Montes Schütte, 2017. "Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations," CREATES Research Papers 2017-09, Department of Economics and Business Economics, Aarhus University.
- Peter C. B. Phillips, 2009.
"Bootstrapping I(1) Data,"
Cowles Foundation Discussion Papers
1689, Cowles Foundation for Research in Economics, Yale University.
- Phillips, Peter C.B., 2010. "Bootstrapping I(1) data," Journal of Econometrics, Elsevier, vol. 158(2), pages 280-284, October.
- Josep Lluís Carrion‐i‐Silvestre & María Dolores Gadea & Antonio Montañés, 2021. "Nearly Unbiased Estimation of Autoregressive Models for Bounded Near‐Integrated Stochastic Processes," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 273-297, February.
- Javier Gómez Biscarri & Javier Hualde, 2014.
"A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings,"
Working Papers
779, Barcelona School of Economics.
- Gomez-Biscarri, Javier & Hualde, Javier, 2015. "A residual-based ADF test for stationary cointegration in I(2) settings," Journal of Econometrics, Elsevier, vol. 184(2), pages 280-294.
- Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
- Matei Demetrescu, 2010. "On the Dickey–Fuller test with White standard errors," Statistical Papers, Springer, vol. 51(1), pages 11-25, January.
- Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
- Patrick Marsh, "undated". "Saddlepoint Approximations for Optimal Unit Root Tests," Discussion Papers 09/31, Department of Economics, University of York.
- Chang, Yoosoon & Park, Joon Y., 2004. "Taking a New Contour: A Novel View on Unit Root Test," Working Papers 2004-10, Rice University, Department of Economics.
- Chang, Yoosoon & Nguyen, Chi Mai, 2012. "Residual based tests for cointegration in dependent panels," Journal of Econometrics, Elsevier, vol. 167(2), pages 504-520.
- Luis F. Martins & Paulo M. M. Rodrigues, 2022. "Tests for segmented cointegration: an application to US governments budgets," Empirical Economics, Springer, vol. 63(2), pages 567-600, August.
- Jürgen Wolters & Uwe Hassler, 2006.
"Unit root testing,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
- Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
- Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
- Demetrescu Matei, 2009. "Panel Unit Root Testing with Nonlinear Instruments for Infinite-Order Autoregressive Processes," Journal of Time Series Econometrics, De Gruyter, vol. 1(2), pages 1-30, December.
- Patrick Marsh, 2019. "Properties of the power envelope for tests against both stationary and explosive alternatives: the effect of trends," Discussion Papers 19/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Giuseppe Cavaliere, 2005. "Testing mean reversion in target-zone exchange rates," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2335-2347.
- Chang, Yoosoon & Kim, Chang Sik & Park, Joon Y., 2016. "Nonstationarity in time series of state densities," Journal of Econometrics, Elsevier, vol. 192(1), pages 152-167.
- Emre Aylar & Stephan Smeekes & Joakim Westerlund, 2019. "Lag truncation and the local asymptotic distribution of the ADF test for a unit root," Statistical Papers, Springer, vol. 60(6), pages 2109-2118, December.
- Guodong Li & Chenlei Leng & Chih-Ling Tsai, 2014. "A Hybrid Bootstrap Approach To Unit Root Tests," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(4), pages 299-321, July.
- Mehdi Hosseinkouchack & Uwe Hassler, 2016. "Powerful Unit Root Tests Free of Nuisance Parameters," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(4), pages 533-554, July.
- David I. Harvey, & Stephen J. Leybourne, & A. M. Robert Taylor, 2007. "Testing for a unit root when uncertain about the trend [Revised to become 07/03 above]," Discussion Papers 06/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Cavaliere, Giuseppe & Taylor, A.M. Robert, 2007. "Testing for unit roots in time series models with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 140(2), pages 919-947, October.
- Peter Farkas & Laszlo Matyas, 2015. "Testing for Unit Roots in Panel Data with Boundary Crossing Counts," CEU Working Papers 2015_5, Department of Economics, Central European University, revised 03 Nov 2015.
- Park, Joon Y., 2002.
"Nonstationary nonlinear heteroskedasticity,"
Journal of Econometrics, Elsevier, vol. 110(2), pages 383-415, October.
Cited by:
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012.
"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
- Ioannis Kasparis & Peter C. B. Phillips & Tassos Magdalinos, 2014. "Nonlinearity Induced Weak Instrumentation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 676-712, August.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012. "Non-linearity Induced Weak Instrumentation," Cowles Foundation Discussion Papers 1872, Cowles Foundation for Research in Economics, Yale University.
- Han, Heejoon & Park, Joon Y., 2006.
"Time series properties of ARCH processes with persistent covariates,"
MPRA Paper
5199, University Library of Munich, Germany.
- Han, Heejoon & Park, Joon Y., 2008. "Time series properties of ARCH processes with persistent covariates," Journal of Econometrics, Elsevier, vol. 146(2), pages 275-292, October.
- Hu, Shuowen & Poskitt, D.S. & Zhang, Xibin, 2021. "Bayesian estimation for a semiparametric nonlinear volatility model," Economic Modelling, Elsevier, vol. 98(C), pages 361-370.
- Cavaliere, Giuseppe & Taylor, A.M. Robert, 2008.
"Testing for a change in persistence in the presence of non-stationary volatility,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 84-98, November.
- Giuseppe Cavaliere & A. M. Robert Taylor, 2006. "Testing for a change in persistence in the presence of non-stationary volatility," Discussion Papers 06/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- Heejoon Han & Myung D. Park, 2013. "Comparison of Realized Measure and Implied Volatility in Forecasting Volatility," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 522-533, September.
- Hong, Shaoxin & Zhang, Zhengyi & Cai, Zongwu, 2021. "Testing heteroskedasticity for predictive regressions with nonstationary regressors," Economics Letters, Elsevier, vol. 201(C).
- Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016.
"Inference on co-integration parameters in heteroskedastic vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- Lee, Eunhee & Han, Doo Bong & Ito, Shoichi & Rodolfo M. Nayga, Jr, 2015.
"A common factor of stochastic volatilities between oil and commodity prices,"
2015 AAEA & WAEA Joint Annual Meeting, July 26-28, San Francisco, California
205771, Agricultural and Applied Economics Association.
- Eunhee Lee & Doo Bong Han & Rodolfo M. Nayga, 2017. "A common factor of stochastic volatilities between oil and commodity prices," Applied Economics, Taylor & Francis Journals, vol. 49(22), pages 2203-2215, May.
- Paulo M. M. Rodrigues & Antonio Rubia, 2004.
"On the Small Sample Properties of Dickey Fuller and Maximum Likelihood Unit Root Tests on Discrete-Sampled Short-Term Interest Rates,"
Econometrics
0405004, University Library of Munich, Germany.
- Paulo M.M. Rodrigues & Antonio Rubia, 2004. "On The Small Sample Properties Of Dickey Fuller And Maximum Likelihood Unit Root Tests On Discrete-Sampled Short-Term Interest Rates," Working Papers. Serie AD 2004-11, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Heejoon Han & Shen Zhang, 2012. "Non‐stationary non‐parametric volatility model," Econometrics Journal, Royal Economic Society, vol. 15(2), pages 204-225, June.
- Chung, Heetaik & Park, Joon Y., 2007.
"Nonstationary nonlinear heteroskedasticity in regression,"
Journal of Econometrics, Elsevier, vol. 137(1), pages 230-259, March.
- Park, Joon & Chung, Heetaik, 2005. "Nonstationary Nonlinear Heteroskedasticity in Regression," Working Papers 2004-02, Rice University, Department of Economics.
- Joon Y. Park & Heetaik Chung, 2004. "Nonstationary Nonlinear Heteroskedasticity in Regression," Econometric Society 2004 Far Eastern Meetings 508, Econometric Society.
- Miller, J. Isaac & Park, Joon Y., 2005. "How They Interact to Generate Persistency in Memory," Working Papers 2005-01, Rice University, Department of Economics.
- YABE, Ryota & 矢部, 竜太, 2014. "Empirical Likelihood Confidence Intervals for Nonparametric Nonlinear Nonstationary Regression Models," Discussion Papers 2014-20, Graduate School of Economics, Hitotsubashi University.
- Miller, J. Isaac & Park, Joon Y., 2010.
"Nonlinearity, nonstationarity, and thick tails: How they interact to generate persistence in memory,"
Journal of Econometrics, Elsevier, vol. 155(1), pages 83-89, March.
- Joon Y. Park & J. Isaac Miller, 2004. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Econometric Society 2004 North American Summer Meetings 597, Econometric Society.
- J. Isaac Miller & Joon Y. Park, 2008. "Nonlinearity, Nonstationarity, and Thick Tails: How They Interact to Generate Persistency in Memory," Working Papers 0801, Department of Economics, University of Missouri.
- Park, Joon, 2003. "Nonstationary Nonlinearity: An Outlook for New Opportunities," Working Papers 2003-05, Rice University, Department of Economics.
- Kim, Chang Sik & Kim, In-Moo, 2012. "Partial parametric estimation for nonstationary nonlinear regressions," Journal of Econometrics, Elsevier, vol. 167(2), pages 448-457.
- Han, Heejoon & Park, Joon Y., 2012. "ARCH/GARCH with persistent covariate: Asymptotic theory of MLE," Journal of Econometrics, Elsevier, vol. 167(1), pages 95-112.
- Choi, Yongok & Jacewitz, Stefan & Park, Joon Y., 2016. "A reexamination of stock return predictability," Journal of Econometrics, Elsevier, vol. 192(1), pages 168-189.
- Lee, Eunhee & Han, Doo Bong, 2016. "Oil Price Volatility and Asymmetric Leverage Effects," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235480, Agricultural and Applied Economics Association.
- Ioannis Kasparis & Peter C.B. Phillips & Tassos Magdalinos, 2012.
"Non-linearity Induced Weak Instrumentation,"
University of Cyprus Working Papers in Economics
02-2012, University of Cyprus Department of Economics.
- Yoosoon Chang & Joon Y. Park & Peter C. B. Phillips, 2001.
"Nonlinear econometric models with cointegrated and deterministically trending regressors,"
Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-36.
See citations under working paper version above.
- Yoosoon Chang & Joon Y. Park & Peter C.B. Phillips, 1999. "Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors," Cowles Foundation Discussion Papers 1245, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y & Phillips, Peter C B, 2001.
"Nonlinear Regressions with Integrated Time Series,"
Econometrica, Econometric Society, vol. 69(1), pages 117-161, January.
See citations under working paper version above.
- Joon Y. Park & Peter C.B. Phillips, 1998. "Nonlinear Regressions with Integrated Time Series," Cowles Foundation Discussion Papers 1190, Cowles Foundation for Research in Economics, Yale University.
- Joon Y. Park & Peter C. B. Phillips, 2000.
"Nonstationary Binary Choice,"
Econometrica, Econometric Society, vol. 68(5), pages 1249-1280, September.
See citations under working paper version above.
- Peter C.B. Phillips & Joon Y. Park, 1999. "Nonstationary Binary Choice," Cowles Foundation Discussion Papers 1223, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y. & Phillips, Peter C.B., 1999.
"Asymptotics For Nonlinear Transformations Of Integrated Time Series,"
Econometric Theory, Cambridge University Press, vol. 15(3), pages 269-298, June.
See citations under working paper version above.
- Peter C.B. Phillips & Joon Y. Park, 1998. "Asymptotics for Nonlinear Transformations of Integrated Time Series," Cowles Foundation Discussion Papers 1182, Cowles Foundation for Research in Economics, Yale University.
- Park, Joon Y. & Hahn, Sang B., 1999.
"Cointegrating Regressions With Time Varying Coefficients,"
Econometric Theory, Cambridge University Press, vol. 15(5), pages 664-703, October.
Cited by:
- Dong, Chaohua & Linton, Oliver, 2018.
"Additive nonparametric models with time variable and both stationary and nonstationary regressors,"
Journal of Econometrics, Elsevier, vol. 207(1), pages 212-236.
- Chaohua Dong & Oliver Linton, 2017. "Additive nonparametric models with time variable and both stationary and nonstationary regressions," CeMMAP working papers CWP59/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- J. Isaac Miller, 2017. "Local Climate Sensitivity: A Statistical Approach for a Spatially Heterogeneous Planet," Working Papers 1702, Department of Economics, University of Missouri.
- Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2011.
"Bayesian Inference in the Time Varying Cointegration Model,"
Working Papers
1121, University of Strathclyde Business School, Department of Economics.
- Gary Koop & Roberto Leon-Gonzales & Rodney W Strachan, 2011. "Bayesian Inference in a Time Varying Cointegration Model," CAMA Working Papers 2011-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Gary Koop & Roberto Leon Gonzalez & Rodney W. Strachan, 2008. "Bayesian Inference in the Time Varying Cointegration Model," GRIPS Discussion Papers 08-01, National Graduate Institute for Policy Studies.
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2008. "Bayesian Inference in the Time Varying Cointegration Model," SIRE Discussion Papers 2008-60, Scottish Institute for Research in Economics (SIRE).
- Koop, Gary & Leon-Gonzalez, Roberto & Strachan, Rodney W., 2011. "Bayesian inference in a time varying cointegration model," Journal of Econometrics, Elsevier, vol. 165(2), pages 210-220.
- Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "Bayesian Inference in the Time Varying Cointegration Model," Working Paper series 23_08, Rimini Centre for Economic Analysis.
- Jeyhun I. Mikayilov & Shahriyar Mukhtarov & Jeyhun Mammadov, 2020. "Gasoline Demand Elasticities at the Backdrop of Lower Oil Prices: Fuel-Subsidizing Country Case," Energies, MDPI, vol. 13(24), pages 1-18, December.
- Campos, Eduardo Lima & Cysne, Rubens Penha, 2017.
"A time-varying fiscal reaction function for Brazil,"
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE)
795, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Campos, Eduardo Lima & Cysne, Rubens Penha, 2018. "A time-varying fiscal reaction function for Brazil," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 798, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, vol. 148(2), pages 101-113, February.
- Heejoon Han & Na Kyeong Lee, 2018. "Modeling the Dynamics between Stock Price and Dividend: An Endogenous Regime Switching Approach," Korean Economic Review, Korean Economic Association, vol. 34, pages 213-235.
- Phillips, Peter C.B. & Li, Degui & Gao, Jiti, 2017.
"Estimating smooth structural change in cointegration models,"
Journal of Econometrics, Elsevier, vol. 196(1), pages 180-195.
- Peter C.B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Cowles Foundation Discussion Papers 1910, Cowles Foundation for Research in Economics, Yale University.
- Peter C. B. Phillips & Degui Li & Jiti Gao, 2013. "Estimating Smooth Structural Change in Cointegration Models," Monash Econometrics and Business Statistics Working Papers 22/13, Monash University, Department of Econometrics and Business Statistics.
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020.
"Unemployment Fluctuations and Currency Returns in the United Kingdom: Evidence from Over One and a Half Century of Data,"
Working Papers
202083, University of Pretoria, Department of Economics.
- Deven Bathia & Riza Demirer & Rangan Gupta & Kevin Kotze, 2020. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," School of Economics Macroeconomic Discussion Paper Series 2020-01, School of Economics, University of Cape Town.
- Bathia, Deven & Demirer, Riza & Gupta, Rangan & Kotzé, Kevin, 2021. "Unemployment fluctuations and currency returns in the United Kingdom: Evidence from over one and a half century of data," Journal of Multinational Financial Management, Elsevier, vol. 61(C).
- Delatte, Anne-Laure & Fouguau, Julien & Holz, Carsten A., 2011.
"Explaining money demand in China during the transition from a centrally planned to a market-based monetary system,"
BOFIT Discussion Papers
27/2011, Bank of Finland Institute for Emerging Economies (BOFIT).
- Anne-Laure Delatte & Julien Fouquau & Carsten A. Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Print hal-01160174, HAL.
- Anne-Laure Delatte & Julien Fouquau & Carsten Holz, 2014. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Communist Economies, Taylor & Francis Journals, vol. 26(3), pages 376-400, September.
- Anne-Laure Delatte & Julien Fouquau & Carsten A. Holz, 2011. "Explaining money demand in China during the transition from a centrally planned to a market-based monetary system," Post-Print hal-00756576, HAL.
- Jochmann, Markus & Koop, Gary, 2011.
"Regime-Switching Cointegration,"
SIRE Discussion Papers
2011-60, Scottish Institute for Research in Economics (SIRE).
- Jochmann Markus & Koop Gary, 2015. "Regime-switching cointegration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 35-48, February.
- Jochmann, Markus & Koop, Gary, 2011. "Regime-Switching Cointegration," SIRE Discussion Papers 2011-36, Scottish Institute for Research in Economics (SIRE).
- Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Paper series 40_11, Rimini Centre for Economic Analysis.
- Markus Jochmann & Gary Koop, 2011. "Regime-Switching Cointegration," Working Papers 1125, University of Strathclyde Business School, Department of Economics.
- Ma, Wei & Li, Haiqi, 2016. "Time-varying saving–investment relationship and the Feldstein–Horioka puzzle," Economic Modelling, Elsevier, vol. 53(C), pages 166-178.
- Chang-Jin Kim & Cheolbeom Park, 2012.
"Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability,"
Discussion Paper Series
1205, Institute of Economic Research, Korea University.
- Chang‐Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Chang-Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Park, Sung Y. & Zhao, Guochang, 2010. "An estimation of U.S. gasoline demand: A smooth time-varying cointegration approach," Energy Economics, Elsevier, vol. 32(1), pages 110-120, January.
- Mehmet Balcilar & Charl Jooste & Shawkat Hammoudeh & Rangan Gupta & Vassilios Babalos, 2014.
"Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?,"
Working Papers
201433, University of Pretoria, Department of Economics.
- Mehmet Balcilar & Charl Jooste & Shawkat Hammoudeh & Rangan Gupta & Vassilios Babalos, 2014. "Are there Long-Run Diversification Gains from the Dow Jones Islamic Finance Index?," Working Papers 15-20, Eastern Mediterranean University, Department of Economics.
- Mehmet Balcilar & Charl Jooste & Shawkat Hammoudeh & Rangan Gupta & Vassilios Babalos, 2015. "Are there long-run diversification gains from the Dow Jones Islamic finance index?," Applied Economics Letters, Taylor & Francis Journals, vol. 22(12), pages 945-950, August.
- Evans, Paul & Kim, Bong-Han & Oh, Keun-Yeob, 2008. "Capital mobility in saving and investment: A time-varying coefficients approach," Journal of International Money and Finance, Elsevier, vol. 27(5), pages 806-815, September.
- David E. Allen & Michael McAleer, 2020. "A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis of West Texas Intermediate Oil Prices and the DOW JONES Index," Energies, MDPI, vol. 13(15), pages 1-11, August.
- Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2022.
"On cointegration for processes integrated at different frequencies,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 43(3), pages 412-435, May.
- Tomás del Barrio Castro & Gianluca Cubadda & Denise R. Osborn, 2020. "On Cointegration for Processes Integrated at Different Frequencies," CEIS Research Paper 502, Tor Vergata University, CEIS, revised 11 Sep 2020.
- del Barrio Castro, Tomás & Cubada, Ginaluca & Osborn, Denise R., 2020. "On cointegration for processes integrated at different frequencies," MPRA Paper 102611, University Library of Munich, Germany.
- Feng-Li Lin & Wen-Yi Chen, 2020. "Did the Consumption Voucher Scheme Stimulate the Economy? Evidence from Smooth Time-Varying Cointegration Analysis," Sustainability, MDPI, vol. 12(12), pages 1-16, June.
- Gonzalo, Jesus & Pitarakis, Jean-Yves, 2010.
"Regime Specific Predictability in Predictive Regressions,"
MPRA Paper
29190, University Library of Munich, Germany.
- Jesús Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
- Gonzalo, Jesús & Pitarakis, Jean-Yves, 2010. "Regime specific predictability in predictive regressions," UC3M Working papers. Economics we097844, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Cheolbeom Park & Sookyung Park, 2013.
"Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients,"
Discussion Paper Series
1302, Institute of Economic Research, Korea University.
- Park, Cheolbeom & Park, Sookyung, 2013. "Exchange rate predictability and a monetary model with time-varying cointegration coefficients," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 394-410.
- Chien-Chiang Lee & Chin-Yu Wang & Jhih-Hong Zeng, 2017. "Housing price–volume correlations and boom–bust cycles," Empirical Economics, Springer, vol. 52(4), pages 1423-1450, June.
- da Fonseca, Eder Lucio & Alencar, Airlane Pereira & Morettin, Pedro Alberto, 2019. "Time-varying cointegration model using wavelets," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 260-267.
- Ripamonti, Alexandre, 2013. "Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return," MPRA Paper 79460, University Library of Munich, Germany.
- Liddle, Brantley & Parker, Steven, 2022. "One more for the road: Reconsidering whether OECD gasoline income and price elasticities have changed over time," Energy Economics, Elsevier, vol. 114(C).
- Zhijie Xiao, 2009.
"Quantile Cointegrating Regression,"
Boston College Working Papers in Economics
708, Boston College Department of Economics.
- Xiao, Zhijie, 2009. "Quantile cointegrating regression," Journal of Econometrics, Elsevier, vol. 150(2), pages 248-260, June.
- Chang, Tsangyao & Gupta, Rangan & Majumdar, Anandamayee & Pierdzioch, Christian, 2019.
"Predicting stock market movements with a time-varying consumption-aggregate wealth ratio,"
International Review of Economics & Finance, Elsevier, vol. 59(C), pages 458-467.
- Tsangyao Chang & Rangan Gupta & Anandamayee Majumdar & Christian Pierdzioch, 2017. "Predicting Stock Market Movements with a Time-Varying Consumption-Aggregate Wealth Ratio," Working Papers 201756, University of Pretoria, Department of Economics.
- Yoosoon Chang & Yongok Choi & Chang Sik Kim & Joon Y. Park & J. Isaac Miller, 2013.
"Disentangling Temporal Patterns in Elasticities: A Functional Coefficient Panel Analysis of Electricity Demand,"
Working Papers
1320, Department of Economics, University of Missouri.
- Chang, Yoosoon & Choi, Yongok & Kim, Chang Sik & Miller, J. Isaac & Park, Joon Y., 2016. "Disentangling temporal patterns in elasticities: A functional coefficient panel analysis of electricity demand," Energy Economics, Elsevier, vol. 60(C), pages 232-243.
- Miller, Stephen M. & Martins, Luis Filipe & Gupta, Rangan, 2019.
"A Time-Varying Approach Of The Us Welfare Cost Of Inflation,"
Macroeconomic Dynamics, Cambridge University Press, vol. 23(2), pages 775-797, March.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working papers 2014-11, University of Connecticut, Department of Economics.
- Stephen M. Miller & Luis F. Martins & Rangan Gupta, 2014. "A Time-Varying Approach of the US Welfare Cost of Inflation," Working Papers 201419, University of Pretoria, Department of Economics.
- Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Arčabić, Vladimir & Gelo, Tomislav & Sonora, Robert J. & Šimurina, Jurica, 2021. "Cointegration of electricity consumption and GDP in the presence of smooth structural changes," Energy Economics, Elsevier, vol. 97(C).
- Vasco J. Gabriel & Luis F. Martins, 2010.
"Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship,"
NIPE Working Papers
28/2010, NIPE - Universidade do Minho.
- Vasco Gabriel & Luis Martins, 2011. "Cointegration tests under multiple regime shifts: An application to the stock price–dividend relationship," Empirical Economics, Springer, vol. 41(3), pages 639-662, December.
- Vasco Gabriel & Luis Martins, 2010. "Cointegration Tests under Multiple Regime Shifts: An Application to the Stock Price-Dividend Relationship," School of Economics Discussion Papers 0910, School of Economics, University of Surrey.
- S.P. Jayasooriya, 2009. "A Dynamic Equilibrium between Inflation and Minimum Wages in Sri Lanka," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 3(2), pages 113-132, April.
- Chen, Wen-Yi, 2020. "The welfare effect of co-payment adjustments on emergency department visits in medical centers: Evidence from Taiwan," Health Policy, Elsevier, vol. 124(11), pages 1192-1199.
- Yoosoon Chang & Yongok Choi & Chang Sik Kim & J. Isaac Miller & Joon Y. Park, 2024.
"Common Trends and Country Specific Heterogeneities in Long-Run World Energy Consumption,"
CAMA Working Papers
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- Fabrizio Iacone & Peter M Robinson, 2004. "Cointegration in Fractional Systems with Deterministic Trends," STICERD - Econometrics Paper Series 476, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Robinson, P.M. & Iacone, F., 2005. "Cointegration in fractional systems with deterministic trends," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 263-298.
- Esteve, Vicente & Tamarit, Cecilio, 2012. "Is there an environmental Kuznets curve for Spain? Fresh evidence from old data," Economic Modelling, Elsevier, vol. 29(6), pages 2696-2703.
- Masao Ogaki & Ling Hu & Chi-Young Choi, 2004.
"A Spurious Regression Approach to Estimating Structural Parameters,"
Working Papers
04-01, Ohio State University, Department of Economics.
- Chi-Young Choi; Ling Hu; Masao Ogaki, 2004. "A Spurious Regression Approach to Estimating Structural Parameters," Econometric Society 2004 Far Eastern Meetings 555, Econometric Society.
- Amano, Robert A. & Wirjanto, Tony S., 1996. "Intertemporal substitution, imports and the permanent income model," Journal of International Economics, Elsevier, vol. 40(3-4), pages 439-457, May.
- Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
- Toru Konishi & Valerie A. Ramey & Clive W.J. Granger, 1993. "Stochastic Trends and Short-Run Relationships Between Financial Variables and Real Activity," NBER Working Papers 4275, National Bureau of Economic Research, Inc.
- Robert Amano & Tony S. Wirjanto, "undated".
"The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation,"
Staff Working Papers
94-6, Bank of Canada.
- Robert A. Amano & Tony S. Wirjanto, 1994. "The Dynamic Behaviour of Canadian Imports and the Linear-Quadratic Model: Evidence Based on the Euler Equation," Econometrics 9406002, University Library of Munich, Germany.
- Kyungho Jang, 2001. "Impulse Response Analysis with Long Run Restrictions on Error Correction Models," Working Papers 01-04, Ohio State University, Department of Economics.
- Emilio Congregado & Vicente Esteve & Juan A. María A. Prats, 2024. "Optimal public deficit and tax-smoothing in the Spanish economy, 1850-2022," Working Papers 2401, Department of Applied Economics II, Universidad de Valencia.
- Tony Wirjanto, 2004. "Exploring consumption-based asset pricing model with stochastic-trend forcing processes," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1591-1597.
- Kakkar, Vikas & Ogaki, Masao, 1999. "Real exchange rates and nontradables: A relative price approach," Journal of Empirical Finance, Elsevier, vol. 6(2), pages 193-215, April.
- Frank, Murray Z. & Goyal, Vidhan K., 2004. "The effect of market conditions on capital structure adjustment," Finance Research Letters, Elsevier, vol. 1(1), pages 47-55, March.
- Okubo, Masakatsu, 2002. "Long-Run Relationship between Consumption and Income in Japan: Tests of the Deterministic Cointegration Restriction," Journal of the Japanese and International Economies, Elsevier, vol. 16(2), pages 253-278, June.
- Mario J. Crucini & Mototsugu Shintani, 2010.
"Measuring Business Cycles by Saving for a Rainy Day,"
NBER Working Papers
16075, National Bureau of Economic Research, Inc.
- Mario J. Crucini & Mototsugu Shintani, 2010. "Measuring business cycles by saving for a rainy day," Globalization Institute Working Papers 50, Federal Reserve Bank of Dallas.
- Elbakry, Ashraf E. & Nwachukwu, Jacinta C. & Abdou, Hussein A. & Elshandidy, Tamer, 2017. "Comparative evidence on the value relevance of IFRS-based accounting information in Germany and the UK," Journal of International Accounting, Auditing and Taxation, Elsevier, vol. 28(C), pages 10-30.
- Vicente Esteve & Francisco Requena, 2006. "A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change," International Journal of the Economics of Business, Taylor & Francis Journals, vol. 13(1), pages 111-128.
- Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
- Masao Ogaki, 2003. "Aggregation under Complete Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 977-986, October.
- Yum K. Kwan, 2006. "The Direct Substitution Between Government and Private Consumption in East Asia," NBER Working Papers 12431, National Bureau of Economic Research, Inc.
- H. Youn Kim & Junsoo Lee, 2001. "Quasi-fixed inputs and long-run equilibrium in production: a cointegration analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(1), pages 41-57.
- Lau, Sau-Him Paul & Sin, Chor-Yiu, 1997. "Observational equivalence and a stochastic cointegration test of the neoclassical and Romer's increasing returns models," Economic Modelling, Elsevier, vol. 14(1), pages 39-60, January.
- Sau‐Him Paul Lau & Chor‐Yiu Sin, 1997. "Public Infrastructure and Economic Growth: Time‐Series Properties and Evidence," The Economic Record, The Economic Society of Australia, vol. 73(221), pages 125-135, June.
- Ogaki, Masao & Reinhart, Carmen M., 1998.
"Intertemporal substitution and durable goods: long-run data,"
Economics Letters, Elsevier, vol. 61(1), pages 85-90, October.
- Reinhart, Carmen & Ogaki, Masao, 1998. "Intertemporal substitution and durable goods: long-run data," MPRA Paper 13683, University Library of Munich, Germany.
- Antonio E. Noriega & Daniel Ventosa-Santaularia, 2012. "The effect of structural breaks on the Engle-Granger test for cointegration," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 99-132.
- Shin-Ichi Nishiyama & Masao Ogaki, 2011. "The Cross-Euler Equation Approach in Estimating the Elasticity of Intertemporal Substitution for Food and Non-Food Consumption in Japan," TERG Discussion Papers 275, Graduate School of Economics and Management, Tohoku University.
- Okubo, Masakatsu, 2003. "Intratemporal substitution between private and government consumption: the case of Japan," Economics Letters, Elsevier, vol. 79(1), pages 75-81, April.
- Robert A. Amano & Wai-Ming Ho & Tony S. Wirjanto, 1999. "Intraperiod and Intertemporal Substitution in Import Demand," Cahiers de recherche CREFE / CREFE Working Papers 84, CREFE, Université du Québec à Montréal.
- Kakkar, Vikas, 2001. "Long run real exchange rates: evidence from Mexico," Economics Letters, Elsevier, vol. 72(1), pages 79-85, July.
- Oscar Bajo-Rubio, 2010.
"The balance-of-payments constraint on economic growth in a long-term perspective: Spain, 1850-2000,"
Working Papers
10-10, Asociación Española de Economía y Finanzas Internacionales.
- Bajo-Rubio, Oscar, 2012. "The balance-of-payments constraint on economic growth in a long-term perspective: Spain, 1850–2000," Explorations in Economic History, Elsevier, vol. 49(1), pages 105-117.
- Dawood, Taufiq Carnegie & Francois, John Nana, 2018. "Substitution between private and government consumption in African economies," Economic Modelling, Elsevier, vol. 73(C), pages 129-139.
- Jang, Kyungho & Ogaki, Masao, 2003. "The Effects of Japanese Monetary Policy Shocks on Exchange Rates: A Structural Vector Error Correction Model Approach," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 21(1), pages 1-34, February.
- Lucey, Brian M. & Voronkova, Svitlana, 2008. "Russian equity market linkages before and after the 1998 crisis: Evidence from stochastic and regime-switching cointegration tests," Journal of International Money and Finance, Elsevier, vol. 27(8), pages 1303-1324, December.
- Esteve, Vicente & Navarro-Ibáñez, Manuel & Prats, María A., 2020. "Stock prices, dividends, and structural changes in the long-term: The case of U.S," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Lucey, Brian M. & Voronkova, Svitlana, 2005. "Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests," BOFIT Discussion Papers 12/2005, Bank of Finland Institute for Emerging Economies (BOFIT).
- Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
- Kenneth S. Lin, 1996. "Private Consumption, Nontraded Goods and Real Exchange Rate: A Cointegration_Euler Equation Approach," NBER Working Papers 5731, National Bureau of Economic Research, Inc.
- Balcombe, K. G. & Davis, J. R., 1996.
"An application of cointegration theory in the estimation of the almost ideal demand system for food consumption in Bulgaria,"
Agricultural Economics, Blackwell, vol. 15(1), pages 47-60, September.
- K.G. Balcombe & J.R. Davis, 1996. "An application of cointegration theory in the estimation of the Almost Ideal Demand system for food consumption in Bulgaria," Agricultural Economics, International Association of Agricultural Economists, vol. 15(1), pages 47-60, September.
- James M. Nason, 1991. "The permanent income hypothesis when the bliss point is stochastic," Discussion Paper / Institute for Empirical Macroeconomics 46, Federal Reserve Bank of Minneapolis.
- Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2015.
"Comparing consumption-based asset pricing models: The case of an Asian city,"
Journal of Housing Economics, Elsevier, vol. 28(C), pages 18-41.
- Kwan, Yum K. & Leung, Charles Ka Yui & Dong, Jinyue, 2014. "Comparing Consumption-based Asset Pricing Models: The Case of an Asian City," MPRA Paper 60513, University Library of Munich, Germany.
- de la Croix, David & Urbain, Jean-Pierre, 1996.
"Intertemporal Substitution in Import Demand and Habit Formation,"
LIDAM Discussion Papers IRES
1996002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
- David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
- Chiquiar Daniel & Ramos Francia Manuel, 2004. "Bilateral Trade and Business Cycle Synchronization: Evidence from Mexico and United States Manufacturing Industries," Working Papers 2004-05, Banco de México.
- Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013.
"The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010,"
Working Papers
13-04, Asociación Española de Economía y Finanzas Internacionales.
- Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of U.S. stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 1305, Department of Applied Economics II, Universidad de Valencia.
- Vicente Esteve & Manuel Navarro-Ibáñez & María A. Prats, 2013. "The present value model of US stock prices revisited: long-run evidence with structural breaks, 1871-2010," Working Papers 04/13, Instituto Universitario de Análisis Económico y Social.
- Li, Qing & Papell, David, 1999. "Convergence of international output Time series evidence for 16 OECD countries," International Review of Economics & Finance, Elsevier, vol. 8(3), pages 267-280, September.
- Auteri, Monica & Costantini, Mauro, 2010. "A panel cointegration approach to estimating substitution elasticities in consumption," Economic Modelling, Elsevier, vol. 27(3), pages 782-787, May.
- Koo, Won W. & Cho, Guedae & Kim, MinKyoung, 2005. "Macro Effects on Agricultural Prices in Different Time Horizons," 2005 Annual meeting, July 24-27, Providence, RI 19349, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Malin Gardberg & Lorenzo (L.C.G.) Pozzi, 2018. "Consumption and wealth in the long run: an integrated unobserved component approach," Tinbergen Institute Discussion Papers 18-046/VI, Tinbergen Institute, revised 13 Sep 2018.
- Fernandez-Corugedo, Emilio & Price, Simon & Blake, Andrew P., 2007. "The dynamics of aggregate UK consumers' non-durable expenditure," Economic Modelling, Elsevier, vol. 24(3), pages 453-469, May.
- Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
- Congregado, Emilio & Esteve, Vicente, 2022. "Cointegration with structural changes and classical model of inflation in Spain, 1830–1998," Structural Change and Economic Dynamics, Elsevier, vol. 60(C), pages 376-388.
- Masao Ogaki & Chi-Young Choi, 2001. "The Gauss-Markov Theorem and Spurious Regressions," Working Papers 01-13, Ohio State University, Department of Economics.
- Choi, In & Park, Joon Y. & Yu, Byungchul, 1997.
"Canonical Cointegrating Regression and Testing for Cointegration in the Presence of I(1) and I(2) Variables,"
Econometric Theory, Cambridge University Press, vol. 13(6), pages 850-876, December.
Cited by:
- Haldrup, Niels Prof. & Lildholdt, Peter, 2000.
"On the Robustness of Unit Root Tests in the Presence of Double Unit Roots,"
University of California at San Diego, Economics Working Paper Series
qt2k0780sh, Department of Economics, UC San Diego.
- Niels Haldrup & Peter Lildholdt, "undated". "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Economics Working Papers 2000-1, Department of Economics and Business Economics, Aarhus University.
- Niels Haldrup & Peter Lildholdt, 2002. "On the Robustness of Unit Root Tests in the Presence of Double Unit Roots," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 155-171, March.
- Niels Haldrup & Peter Lildholdt, "undated".
"Local Power Functions of Tests for Double Unit Roots,"
Economics Working Papers
2000-2, Department of Economics and Business Economics, Aarhus University.
- Haldrup, Niels Prof. & Lildholdt, Peter, 2000. "Local Power Functions of Tests for Double Unit Roots," University of California at San Diego, Economics Working Paper Series qt01j3m1h6, Department of Economics, UC San Diego.
- Niels Haldrup & Peter Lildholdt, 2005. "Local power functions of tests for double unit roots," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 59(2), pages 159-179, May.
- Taha Zaghdoudi, 2018. "Asymmetric responses of CO2 emissions to oil price shocks in China: a non-linear ARDL approach," Economics Bulletin, AccessEcon, vol. 38(3), pages 1485-1493.
- Qunyong Wang & Na Wu, 2012. "Long-run covariance and its applications in cointegration regression," Stata Journal, StataCorp LP, vol. 12(3), pages 525-542, September.
- Oluwatobi Joshua OLOFIN & Adeleke Gabriel AREMO (Ph.D) & Olabode Philp OLOFIN (Ph.D) & Oluwafemi Olawale OKUNADE, 2023. "Neighborhood Effect, Agricultural Development and Poverty Level in Nigeria," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 7(5), pages 705-726, May.
- Horowitz, Joel L. & Savin, N. E., 2000. "Empirically relevant critical values for hypothesis tests: A bootstrap approach," Journal of Econometrics, Elsevier, vol. 95(2), pages 375-389, April.
- Haldrup, Niels Prof. & Lildholdt, Peter, 2000.
"On the Robustness of Unit Root Tests in the Presence of Double Unit Roots,"
University of California at San Diego, Economics Working Paper Series
qt2k0780sh, Department of Economics, UC San Diego.
- Park, Joon Y. & Sung, Jaewhan, 1994.
"Testing for Unit Roots in Models with Structural Change,"
Econometric Theory, Cambridge University Press, vol. 10(5), pages 917-936, December.
Cited by:
- Aggarwal, Raj & Mougoue, Mbodja, 1996. "Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen," Japan and the World Economy, Elsevier, vol. 8(3), pages 291-308, September.
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"A Primer on Unit Root Testing,"
Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 423-470, December.
- Peter C.B. Phillips & Zhijie Xiao, 1998. "A Primer on Unit Root Testing," Cowles Foundation Discussion Papers 1189, Cowles Foundation for Research in Economics, Yale University.
- Hassler, Uwe & Rodrigues, Paulo M. M., 2002.
"Seasonal Unit Root Tests under Structural Breaks,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
37696, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Rodrigues, Paulo M. M., 2009. "Seasonal Unit Root Tests under Structural Breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 77565, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal unit root tests under structural breaks," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18290, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe & Rodrigues, Paulo M. M., 2002. "Seasonal Unit Root Tests under Structural Breaks," Darmstadt Discussion Papers in Economics 113, Darmstadt University of Technology, Department of Law and Economics.
- Uwe Hassler & Paulo M. M. Rodrigues, 2004. "Seasonal Unit Root Tests Under Structural Breaks," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(1), pages 33-53, January.
- Hali J. Edison & Eric Fisher, 1989.
"A long-run view of the european monetary system,"
International Finance Discussion Papers
339, Board of Governors of the Federal Reserve System (U.S.).
- Edison, Hali J. & Fisher, Eric O'N, 1991. "A long-run view of the European monetary system," Journal of International Money and Finance, Elsevier, vol. 10(1), pages 53-70, March.
- Bowman, Chakriya, 2005. "Yen bloc or koala bloc? Currency relationships after the East Asian crisis," Japan and the World Economy, Elsevier, vol. 17(1), pages 83-96, January.
- Stern, David I. & Enflo, Kerstin, 2013.
"Causality between energy and output in the long-run,"
Energy Economics, Elsevier, vol. 39(C), pages 135-146.
- David I. Stern & Kerstin Enflo, 2013. "Causality Between Energy and Output in the Long-Run," CAMA Working Papers 2013-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Stern, David & Enflo, Kerstin, 2013. "Causality Between Energy and Output in the Long-Run," Lund Papers in Economic History 126, Lund University, Department of Economic History.
- Nyong, M. O. & Udah, E. B., 2012. "Industrial Time Series of Nigeria, 1970-2009: Evolution and Unit Root Testing in the Presence of Multiple Endogenous Structural Breaks," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 12(1).
- Jungmittag Andre & Grupp Hariolf, 2006. "Wechselwirkungen zwischen Innovations- und Wachstumsprozessen in Deutschland 1951-1999 im Vergleich zu 1850-1913 / Dynamic Relationships Between Innovation Activities and Per Capita Income in Germany ," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(2), pages 180-207, April.
- Lee, Chin & M., Azali, 2013. "Financial Integration among ASEAN+3 Countries: Evidence from Exchange Rates," MPRA Paper 58162, University Library of Munich, Germany.
- Mehmet Balcilar, 2007. "Point Optimal Invariant Tests of a Unit Root in Models with Structural Change," Working Papers 15-50, Eastern Mediterranean University, Department of Economics.
- Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
- Snaith, Stuart, 2012. "The PPP debate: Multiple breaks and cross-sectional dependence," Economics Letters, Elsevier, vol. 115(3), pages 342-344.
- Kurozumi, Eiji, 2002. "Testing for stationarity with a break," Journal of Econometrics, Elsevier, vol. 108(1), pages 63-99, May.
- Junsoo Lee & John List, 2004.
"Examining Trends of Criteria Air Pollutants: Are the Effects of Governmental Intervention Transitory?,"
Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 29(1), pages 21-37, September.
- Junsoo Lee & John List, 2003. "Examining Trends of Criteria Air Pollutants: Are the Effects of Governmental Intervention Transitory," Natural Field Experiments 00494, The Field Experiments Website.
- Shyh-Wei Chen, 2008. "Are 19 Developed Countries' Real Per Capita GDP levels Non-stationary? A Revisit," Economics Bulletin, AccessEcon, vol. 3(2), pages 1-11.
- Jürgen Wolters & Uwe Hassler, 2006.
"Unit root testing,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 43-58, March.
- Jürgen Wolters & Uwe Hassler, 2006. "Unit Root Testing," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 4, pages 41-56, Springer.
- Wolters, Jürgen & Hassler, Uwe, 2005. "Unit root testing," Discussion Papers 2005/23, Free University Berlin, School of Business & Economics.
- H. Youn Kim & Junsoo Lee & Stephen E. Lile & James R. Ramsey, 2000. "Municipal Bonds and Tax Arbitrage: A Cointegration Analysis," Public Finance Review, , vol. 28(4), pages 372-389, July.
- Mbodja Mougoué & Ramesh P. Rao, 2003. "The Information Signaling Hypothesis of Dividends: Evidence from Cointegration and Causality Tests," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(3‐4), pages 441-478, April.
- Matos, Paulo Rogério Faustino & Bueno, Amadeus & Trompieri, Nicolino, 2014. "Análise de Integração Financeira na América do Sul," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
- Park, Joon Y, 1992.
"Canonical Cointegrating Regressions,"
Econometrica, Econometric Society, vol. 60(1), pages 119-143, January.
Cited by:
- Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1997.
"Structural analysis of vector error correction models with exogenous I(1) variables (first version),"
Edinburgh School of Economics Discussion Paper Series
7, Edinburgh School of Economics, University of Edinburgh.
- Pesaran, M. H. & Shin, Y. & Smith, R. J., 1997. "Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables," Cambridge Working Papers in Economics 9706, Faculty of Economics, University of Cambridge.
- Pesaran, M. Hashem & Shin, Yongcheol & Smith, Richard J., 2000. "Structural analysis of vector error correction models with exogenous I(1) variables," Journal of Econometrics, Elsevier, vol. 97(2), pages 293-343, August.
- Mohammad Hashem Pesaran & Richard J Smith & Yongcheol Shin, 1999. "Structural analysis of vector error correction models with exogenous I(1) variables," Edinburgh School of Economics Discussion Paper Series 38, Edinburgh School of Economics, University of Edinburgh.
- Joaquín Bernal-Ramírez & Jair Ojeda-Joya & Camila Agudelo-Rivera & Felipe Clavijo-Ramírez & Carolina Durana-Ángel & Clark Granger-Castaño & Daniel Osorio-Rodríguez & Daniel Parra-Amado, 2022.
"Impacto macroeconómico del cambio climático en Colombia,"
Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, issue 102, pages 1-62, July.
- Joaquín Bernal-Ramírez & Jair Ojeda-Joya & Camila Agudelo-Rivera & Felipe Clavijo-Ramírez & Carolina Durana-Ángel & Clark Granger-Castaño & Daniel Osorio-Rodríguez & Daniel Parra-Amado & José Pulido &, 2022. "Impacto macroeconómico del cambio climático en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, issue 102, pages 1-62, July.
- Oryani, Bahareh & Kamyab, Hesam & Mоridiаn, Аli & Azizi, Zahra & Rezania, Shahabaldin & Chelliapan, Shreeshivadasan, 2022. "Does structural change boost the energy demand in a fossil fuel-driven economy? New evidence from Iran," Energy, Elsevier, vol. 254(PC).
- Alan Bartley, William & Lee, Junsoo & Strazicich, Mark C., 2001. "Testing the null of cointegration in the presence of a structural break," Economics Letters, Elsevier, vol. 73(3), pages 315-323, December.
- Matteo Mogliani, 2010.
"Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study,"
PSE Working Papers
halshs-00564897, HAL.
- Matteo Mogliani, 2010. "Residual-based tests for cointegration and multiple deterministic structural breaks: A Monte Carlo study," Working Papers halshs-00564897, HAL.
- Cho, Guedae & Kim, MinKyoung & Koo, Won W., 2003. "Relative Agricultural Price Changes In Different Time Horizons," 2003 Annual meeting, July 27-30, Montreal, Canada 22249, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Georgios Bertsatos & Plutarchos Sakellaris & Mike G. Tsionas, 2022. "Extensions of the Pesaran, Shin and Smith (2001) bounds testing procedure," Empirical Economics, Springer, vol. 62(2), pages 605-634, February.
- Hassler, Uwe, 2009.
"The Effect of Linear Time Trends on Cointegration Testing in Single Equations,"
Publications of Darmstadt Technical University, Institute for Business Studies (BWL)
77573, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe, 2002. "The Effects of linear time trends on conintegration testing in single equations," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 18294, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Hassler, Uwe, 2002. "The Effect of Linear Time Trends on Cointegration Testing in Single Equations," Darmstadt Discussion Papers in Economics 111, Darmstadt University of Technology, Department of Law and Economics.
- Hassler, Uwe, 2002. "The Effect of Linear Time Trends on Cointegration Testing in Single Equations," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 37698, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Dincer, Oguzhan & Teoman, Ozgur, 2019. "Does corruption kill? Evidence from half a century infant mortality data," Social Science & Medicine, Elsevier, vol. 232(C), pages 332-339.
- Procházka, Petr & Řezbová, Helena & Smutka, Luboš, 2015. "Crops Rotation – the Solution of Environmental Problems (a Case Study of Prince Edward Island in Canada)," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 7(3), pages 1-11, September.
- Karmaker, Shamal Chandra & Barai, Munim Kumar & Sen, Kanchan Kumar & Saha, Bidyut Baran, 2023. "Effects of remittances on renewable energy consumption: Evidence from instrumental variable estimation with panel data," Utilities Policy, Elsevier, vol. 83(C).
- Khatai Aliyev & Altay Ismayilov & Ilkin Gasimov, 2019. "Modelling Elasticity of Non-Oil Tax Revenues to Oil Price Changes: is There U-Shaped Association? Evidence from Azerbaijan," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 67(3), pages 799-810.
- Minxian, Yang, 1998. "System estimators of cointegrating matrix in absence of normalising information," Journal of Econometrics, Elsevier, vol. 85(2), pages 317-337, August.
- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Jaebeom Kim & Masao Ogaki & Minseok Yang, 2007.
"Structural Error Correction Models: A System Method for Linear Rational Expectations Models and an Application to an Exchange Rate Model,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 2057-2075, December.
- Jaebeom Kim & Masao Ogaki & Minseok Yang, 2007. "Structural Error Correction Models: A System Method for Linear Rational Expectations Models and an Application to an Exchange Rate Model," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(8), pages 2057-2075, December.
- Won-Ki Seo, 2020. "Functional Principal Component Analysis for Cointegrated Functional Time Series," Papers 2011.12781, arXiv.org, revised Apr 2023.
- Masao Ogaki & Jaebeom Kim, 2004.
"Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach,"
Econometric Society 2004 Far Eastern Meetings
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